Section: New Results

Sensitivity analysis

Participants : Elise Arnaud, Eric Blayo, Laurent Gilquin, Maria Belén Heredia, Adrien Hirvoas, François-Xavier Le Dimet, Henri Mermoz Kouye, Clémentine Prieur, Laurence Viry.

Scientific context

Forecasting geophysical  systems require complex models, which sometimes need to be coupled, and which make use of data assimilation. The objective of this project is, for a given output of such a system, to identify the most influential parameters, and to evaluate the effect of uncertainty in input parameters on model output. Existing stochastic tools are not well suited for high dimension problems (in particular time-dependent problems), while deterministic tools are fully applicable but only provide limited information. So the challenge is to gather expertise on one hand on numerical approximation and control of Partial Differential Equations, and on the other hand on stochastic methods for sensitivity analysis, in order to develop and design innovative stochastic solutions to study high dimension models and to propose new hybrid approaches combining the stochastic and deterministic methods.

Global sensitivity analysis

Participants : Elise Arnaud, Eric Blayo, Laurent Gilquin, Maria Belén Heredia, Adrien Hirvoas, Alexandre Janon, Henri Mermoz Kouye, Clémentine Prieur, Laurence Viry.

Global sensitivity analysis with dependent inputs

An important challenge for stochastic sensitivity analysis is to develop methodologies which work for dependent inputs. Recently, the Shapley value, from econometrics, was proposed as an alternative to quantify the importance of random input variables to a function. Owen [54] derived Shapley value importance for independent inputs and showed that it is bracketed between two different Sobol' indices. Song et al. [60] recently advocated the use of Shapley value for the case of dependent inputs. In a recent work [55], in collaboration with Art Owen (Standford's University), we show that Shapley value removes the conceptual problems of functional ANOVA for dependent inputs. We do this with some simple examples where Shapley value leads to intuitively reasonable nearly closed form values. We also investigated further the properties of Shapley effects in [30].

Extensions of the replication method for the estimation of Sobol' indices

Sensitivity analysis studies how the uncertainty on an output of a mathematical model can be attributed to sources of uncertainty among the inputs. Global sensitivity analysis of complex and expensive mathematical models is a common practice to identify influent inputs and detect the potential interactions between them. Among the large number of available approaches, the variance-based method introduced by Sobol' allows to calculate sensitivity indices called Sobol' indices. Each index gives an estimation of the influence of an individual input or a group of inputs. These indices give an estimation of how the output uncertainty can be apportioned to the uncertainty in the inputs. One can distinguish first-order indices that estimate the main effect from each input or group of inputs from higher-order indices that estimate the corresponding order of interactions between inputs. This estimation procedure requires a significant number of model runs, number that has a polynomial growth rate with respect to the input space dimension. This cost can be prohibitive for time consuming models and only a few number of runs is not enough to retrieve accurate informations about the model inputs.

The use of replicated designs to estimate first-order Sobol' indices has the major advantage of reducing drastically the estimation cost as the number of runs n becomes independent of the input space dimension. The generalization to closed second-order Sobol' indices relies on the replication of randomized orthogonal arrays.  However, if the input space is not properly explored, that is if n is too small, the Sobol' indices estimates may not be accurate enough. Gaining in efficiency and assessing the estimate precision still remains an issue, all the more important when one is dealing with limited computational budget.

We designed an approach to render the replication method iterative, enabling the required number of evaluations to be controlled. With this approach, more accurate Sobol' estimates are obtained while recycling previous sets of model evaluations. Its main characteristic is to rely on iterative construction of stratified designs, latin hypercubes and orthogonal arrays [45]

In  [11]  a new strategy to estimate the full set of first-order and second-order Sobol' indices with only two replicated designs based on orthogonal arrays of strength two. Such a procedure increases the precision of the estimation for a given computation budget. A bootstrap procedure for producing confidence intervals, that are compared to asymptotic ones in the case of first-order indices, is also proposed.

The replicated designs strategy for global sensitivity analysis was also implemented in the applied framework of marine biogeochemical modeling, making use of distributed computing environments [15]. It has allowed to perform a global sensitivity analysis with input space dimension more than eighty, without any screening preliminary step.

Green sensitivity for multivariate and functional outputs

Participants : María Belén Heredia, Clémentine Prieur.

Another research direction for global SA algorithm starts with the report that most of the algorithms to compute sensitivity measures require special sampling schemes or additional model evaluations so that available data from previous model runs (e.g., from an uncertainty analysis based on Latin Hypercube Sampling) cannot be reused. One challenging task for estimating global sensitivity measures consists in recycling an available finite set of input/output data. Green sensitivity, by recycling, avoids wasting. These given data have been discussed, e.g., in [59], [58]. Most of the given data procedures depend on parameters (number of bins, truncation argument…) not easy to calibrate with a bias-variance compromise perspective. Adaptive selection of these parameters remains a challenging issue for most of these given-data algorithms. In the context of María Belén Heredia’s PhD thesis, we have proposed a non-parametric given data estimator for agregated Sobol’ indices, introduced in [48] and further developed in [44] for multivariate or functional outputs. This last work should be submitted soon.

Global sensitivity analysis for parametrized stochastic differential equations

Participants : Henri Mermoz Kouye, Clémentine Prieur.

Many models are stochastic in nature, and some of them may be driven by parametrized stochastic differential equations. It is important for applications to propose a strategy to perform global sensitivity analysis (GSA) for such models, in presence of uncertainties on the parameters. In collaboration with Pierre Etoré (DATA department in Grenoble), Clémentine Prieur proposed an approach based on Feynman-Kac formulas [10]. The research on GSA for stochastic simulators is still ongoing, first in the context of the MATH-AmSud project FANTASTIC (Statistical inFerence and sensitivity ANalysis for models described by sTochASTIC differential equations) with Chile and Uruguay, secondly through the PhD thesis of Henri Mermoz Kouye, co-supervised by Clémentine Prieur, in collaboration with INRA Jouy.