A-optimal designs for non-parametric symmetrical global sensitivity analysis

Xueping Chen, Yujie Gai and Xiaodi Wang ()
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Xueping Chen: Jiangsu University of Technology
Yujie Gai: Central University of Finance and Economics
Xiaodi Wang: Central University of Finance and Economics

Metrika: International Journal for Theoretical and Applied Statistics, 2023, vol. 86, issue 2, No 4, 219-237

Abstract: Abstract In the early stage of exploring a complex system, a preliminary experiment is used to capture the key characteristics of the model. Symmetrical global sensitivity analysis (SGSA) is one such experiment that explores the symmetrical structure of model by decomposing the model into independent symmetric functions. However, the existing experimental plans for SGSA rely on deterministic computational models that produce unique values of outputs when executed for specific values of inputs. In this paper, the problem of designing experiments for non-parametric SGSA is considered. Here the phrase “non-parametric” refers to model outputs containing random errors. The main result in the paper shows that a symmetrical design with certain constraints achieves A-optimum for the estimation of each output element function, and guarantees the superiority of the SGSA result. The statistical properties of non-parametric SGSA based on the optimal designs are further discussed, showing that the non-influential sensitivity indices can be estimated with low bias and volatility. Two explicit structures of the optimal designs are obtained. The optimality of the derived design is validated by simulation in the end.

Keywords: Global sensitivity indices; Non-parametric model; A-optimality; Symmetrical design (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00184-022-00872-3

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