A Generalized Kernel Method for Global Sensitivity Analysis

John Barr, Herschel Rabitz

Research output: Contribution to journalArticlepeer-review

Abstract

Global sensitivity analysis (GSA) is frequently used to analyze how the uncertainty in input parameters of computational models or in experimental setups influences the uncertainty of an output. Here we describe a class of GSA measures based on the embedding of the multiple output’s joint probability distribution into a reproducing kernel Hilbert space (RKHS). In particular, the distance between embeddings is measured utilizing the maximum mean discrepancy, which has several key advantages over many common sensitivity measures. First, the proposed methodology defines measures for an arbitrary type of output, while maintaining easy computability for high-dimensional outputs. Second, by utilizing different kernels, or RKHSs, one can determine how the input parameters influence different features of the output distribution. This new class of sensitivity analysis measures, encapsulated into what are called βk-indicators, are shown to contain both moment-independent and moment-based measures as special cases. The specific βk-indicator arises from the particular choice of kernel. This analysis includes deriving new GSA measures as well as showing that certain previously proposed GSA measures, such as the variance-based indicators, are special cases of the βk-indicators. Some basic test cases are used to showcase that the βk-indicator derived from kernel-based GSA provides flexible tools capable of assessing a broad range of applications.

Original languageEnglish (US)
Pages (from-to)27-54
Number of pages28
JournalSIAM-ASA Journal on Uncertainty Quantification
Volume10
Issue number1
DOIs
StatePublished - 2022

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modeling and Simulation
  • Statistics, Probability and Uncertainty
  • Discrete Mathematics and Combinatorics
  • Applied Mathematics

Keywords

  • global sensitivity analysis
  • kernel methods
  • moment-independent sensitivity analysis
  • multivariate output

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