Global Sensitivity Analysis for Statistical Model Parameters

Journal Article · 03 January 2019 · SIAM/ASA Journal on Uncertainty Quantification

DOI: https://doi.org/10.1137/17M1161397 · OSTI ID:1510482

Hart, Joseph L. ^[1]; Bessac, Julie ^[2]; Constantinescu, Emil M.  ^[2]

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1. North Carolina State Univ., Raleigh, NC (United States)
2. Argonne National Lab. (ANL), Argonne, IL (United States)

Global sensitivity analysis (GSA) is typically used to analyze the influence of uncertain parameters in mathematical models and simulations. In principle, tools from GSA may be extended to analyze the influence of parameters in statistical models. Such analyses may enable reduced or parsimonious modeling and greater predictive capability. Yet, difficulties such as parameter correlation, model stochasticity, multivariate model output, and unknown parameter distributions prohibit a direct application of GSA tools to statistical models. By leveraging a loss function associated with the statistical model, we introduce a novel framework to address these difficulties and enable efficient GSA for statistical model parameters. Theoretical and computational properties are considered and hihglighted on a synthetic example. The framework is applied to a Gaussian process model from the literature, which depends on 95 parameters. Noninfluential parameters are discovered through GSA, and a reduced model with equal or stronger predictive capability is constructed by using only 79 parameters.

• Research Organization: Argonne National Laboratory (ANL), Argonne, IL (United States)
• Sponsoring Organization: USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR); National Science Foundation (NSF)
• Grant/Contract Number: AC02-06CH11357
• OSTI ID: 1510482
• Journal Information: SIAM/ASA Journal on Uncertainty Quantification, Vol. 7, Issue 1; ISSN 2166-2525
• Publisher: SIAMCopyright Statement
• Country of Publication: United States
• Language: English