Calculations of Sobol indices for the Gaussian process metamodel

Details Calculations of Sobol indices for the Gaussian process metamodel Calculations of Sobol indices for the Gaussian process metamodel

2008-02-07

arxiv.org/abs/0802.1008v1

Statistics

Methodology

Scientific paper

Global sensitivity analysis of complex numerical models can be performed by calculating variance-based importance measures of the input variables, such as the Sobol indices. However, these techniques, requiring a large number of model evaluations, are often unacceptable for time expensive computer codes. A well known and widely used decision consists in replacing the computer code by a metamodel, predicting the model responses with a negligible computation time and rending straightforward the estimation of Sobol indices. In this paper, we discuss about the Gaussian process model which gives analytical expressions of Sobol indices. Two approaches are studied to compute the Sobol indices: the first based on the predictor of the Gaussian process model and the second based on the global stochastic process model. Comparisons between the two estimates, made on analytical examples, show the superiority of the second approach in terms of convergence and robustness. Moreover, the second approach allows to integrate the modeling error of the Gaussian process model by directly giving some confidence intervals on the Sobol indices. These techniques are finally applied to a real case of hydrogeological modeling.

Affiliated with

Also associated with

No associations

Rating

Calculations of Sobol indices for the Gaussian process metamodel does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Calculations of Sobol indices for the Gaussian process metamodel, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Calculations of Sobol indices for the Gaussian process metamodel will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-365088