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math.PR2024
On one dimensional weighted Poincare inequalities for Global Sensitivity Analysis
David Heredia, Aldéric Joulin, Olivier Roustant
One-dimensional Poincare inequalities are used in Global Sensitivity Analysis (GSA) to provide derivative-based upper bounds and approximations of Sobol indices. We add new perspec…
math.PR2014★ 1 cited
On ANOVA decompositions of kernels and Gaussian random field paths
David Ginsbourger, Olivier Roustant, Dominic Schuhmacher +2
The FANOVA (or "Sobol'-Hoeffding") decomposition of multivariate functions has been used for high-dimensional model representation and global sensitivity analysis. When the objecti…