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Pré-Publication, Document De Travail (Preprint/Prepublication) Année : 2023

Kernel-based sensitivity analysis for (excursion) sets

Résumé

In this paper, we aim to perform sensitivity analysis of set-valued models and, in particular, to quantify the impact of uncertain inputs on feasible sets, which are key elements in solving a robust optimization problem under constraints. While most sensitivity analysis methods deal with scalar outputs, this paper introduces a novel approach for performing sensitivity analysis with set-valued outputs. Our innovative methodology is designed for excursion sets, but is versatile enough to be applied to set-valued simulators, including those found in viability fields, or when working with maps like pollutant concentration maps or flood zone maps. We propose to use the Hilbert-Schmidt Independence Criterion (HSIC) with a kernel designed for set-valued outputs. After proposing a probabilistic framework for random sets, a first contribution is the proof that this kernel is \textit{characteristic}, an essential property in a kernel-based sensitivity analysis context. To measure the contribution of each input, we then propose to use HSIC-ANOVA indices. With these indices, we can identify which inputs should be neglected (\textit{screening}) and we can rank the others according to their influence (\textit{ranking}). The estimation of these indices is also adapted to the set-valued outputs. Finally, we test the proposed method on three test cases of excursion sets.
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Dates et versions

hal-04094561 , version 1 (11-05-2023)
hal-04094561 , version 2 (15-05-2023)
hal-04094561 , version 3 (26-05-2023)
hal-04094561 , version 4 (15-02-2024)

Identifiants

  • HAL Id : hal-04094561 , version 4

Citer

Noé Fellmann, Christophette Blanchet-Scalliet, Céline Helbert, Adrien Spagnol, Delphine Sinoquet. Kernel-based sensitivity analysis for (excursion) sets. 2023. ⟨hal-04094561v4⟩
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