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math.ST2026
Sharp inequalities between variance-based dependent sensitivity indices and Shapley effects: upper-bounds
Matieyendou Lamboni
For models evaluated at a random set of independent variables, the variance-based Shapley effects range between Sobol' indices, and the corresponding total indices admit derivative…
math.ST2025
Dimension-free estimators of gradients of functions with(out) non-independent variables
Matieyendou Lamboni
This study proposes a unified stochastic framework for approximating and computing the gradient of every smooth function evaluated at non-independent variables, using -sphe…
math.ST2025
Optimal ANOVA-based emulators of models with(out) derivatives
Matieyendou Lamboni
This paper proposes new ANOVA-based approximations of functions and emulators of high-dimensional models using either available derivatives or local stochastic evaluations of such…