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ANOVA decomposition of conditional Gaussian processes for sensitivity analysis with dependent inputs. (English) Zbl 1457.62016

Summary: Complex computer codes are widely used in science to model physical systems. Sensitivity analysis aims to measure the contributions of the inputs on the code output variability. An efficient tool to perform such analysis is the variance-based methods which have been recently investigated in the framework of dependent inputs. One of their issue is that they require a large number of runs for the complex simulators. To handle it, a Gaussian process (GP) regression model may be used to approximate the complex code. In this work, we propose to decompose a GP into a high-dimensional representation. This leads to the definition of a variance-based sensitivity measure well tailored for non-independent inputs. We give a methodology to estimate these indices and to quantify their uncertainty. Finally, the approach is illustrated on toy functions and on a river flood model.

MSC:

62-08 Computational methods for problems pertaining to statistics
62G08 Nonparametric regression and quantile regression
62H99 Multivariate analysis
62J10 Analysis of variance and covariance (ANOVA)

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