We develop a new efficient methodology for Bayesian global sensitivity analysis for large-scale multivariate data. The focus is on computationally demanding models with correlated variables. A multivariate Gaussian process is used as a surrogate model to replace the expensive computer model. To improve the computational efficiency and performance of the model, compactly supported correlation functions are used. The goal is to generate sparse matrices, which give crucial advantages when dealing with large datasets, where we use cross-validation to determine the optimal degree of sparsity. This method was combined with a robust adaptive Metropolis algorithm coupled with a parallel implementation to speed up the convergence to the target distribution. The method was applied to a multivariate dataset from the IMPRESSIONS Integrated Assessment Platform (IAP2), an extension of the CLIMSAVE IAP, which has been widely applied in climate change impact, adaptation and vulnerability assessments. Our empirical results on synthetic and IAP2 data show that the proposed methods are efficient and accurate for global sensitivity analysis of complex models.
翻译:我们为巴伊西亚大型多变量数据的全球敏感度分析制定了新的高效方法,重点是与相关变量的计算要求模型。多变量高森进程被用作替代模型,以取代昂贵的计算机模型。为提高模型的计算效率和性能,使用了紧密支持的关联功能。目标是产生稀疏的矩阵,在处理大型数据集时,这种矩阵具有关键优势,我们在此过程中使用交叉校准来确定最适度的宽度。这一方法与强有力的适应性大都会算法结合,并同时实施一个平行的实施,以加快与目标分布的趋同。该方法被应用到一个多变量数据集上,该数据集来自IPRESS综合评估平台(IP2),这是CLIMSSAVE IAP的延伸,已在气候变化影响、适应和脆弱性评估中广泛应用。我们关于合成数据和IP2数据的经验结果表明,拟议的方法对于复杂模型的全球敏感度分析是有效和准确的。