Variance Components and Generalized Sobol' Indices
نویسندگان
چکیده
منابع مشابه
Variance Components and Generalized Sobol’ Indices
This paper introduces generalized Sobol’ indices, compares strategies for their estimation, and makes a systematic search for efficient estimators. Of particular interest are contrasts, sums of squares and indices of bilinear form which allow a reduced number of function evaluations compared to alternatives. The bilinear framework includes some efficient estimators from Saltelli (2002) and Maun...
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Sobol’ indices measure the dependence of a high dimensional function on groups of variables defined on the unit cube [0, 1]. They are based on the ANOVA decomposition of functions, which is an L decomposition. In this paper we discuss generalizations of Sobol’ indices which yield L measures of the dependence of f on subsets of variables. Our interest is in values p > 2 because then variable imp...
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Let f be a finite variance function of d independent input variables. Sobol’ indices are used to measure the importance of input variables and subsets of them. They are based on a variance decomposition. A similar problem arises in economics, when the value produced through the joint efforts of a team is to be attributed to individual members of that team. The Shapley value is widely used to so...
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ژورنال
عنوان ژورنال: SIAM/ASA Journal on Uncertainty Quantification
سال: 2013
ISSN: 2166-2525
DOI: 10.1137/120876782