On-line Pick-Freeze Mirror algorithm for Sensitity Analysis

Manon Costa, Sébastien Gadat, Xavier Gendre and Thierry Klein

No 26-1751, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: The main objective of this paper is to propose a new approach for estimating the entire collection of Sobol’ indices simultaneously. Our approach exploits the fact that Sobol’ indices can be rewritten as solutions to an optimization problem over a simplex, to construct an online sequence of estimators using a stochastic mirror descent algorithm. We prove that our estimation procedure is consistent and provide a non-asymptotic upper bound for its rate of convergence. Furthermore, we demonstrate the numerical accuracy of our method and compare it with other classical estimation procedures.

Keywords: global sensitivity analysis; Sobol’ indices; stochastic Mirror descent algorithm (search for similar items in EconPapers)
Date: 2026-06-01, Revised 2026-06-10
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.tse-fr.eu/sites/default/files/TSE/docu ... 2026/wp_tse_1751.pdf Full Text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:131794

Access Statistics for this paper

More papers in TSE Working Papers from Toulouse School of Economics (TSE) Contact information at EDIRC.
Bibliographic data for series maintained by ().