In global sensitivity analysis for stochastic models, the Sobol' sensitivity index is a ratio of polynomials in which each variable is an expectation of a function of a conditional expectation. The estimator is then based on nested Monte Carlo sampling where the sizes of the inner and outer loops correspond to the number of repetitions and explorations, respectively. Under some conditions, it was shown that the optimal rate of the mean squared error for estimating the expectation of a function of a conditional expectation by nested Monte Carlo sampling is of order the computational budget raised to the power-2/3. However, the control of the mean squared error for ratios of polynomials is more challenging. We show the convergence in quadratic mean of the Sobol' index estimator. A bound is found that allows us to propose an allocation strategy based on a bias-variance trade-off. A practical algorithm that adapts to the model intrinsic randomness and exploits the knowledge of the optimal allocation is proposed and illustrated on numerical experiments.
翻译:在对随机模型的全球敏感度分析中,Sobol的敏感度指数是多数值比,其中每个变量都期望有有条件期望的功能。然后,估计者以嵌巢的蒙特卡洛取样为基础,其中内圈和外圈大小分别与重复和探索的次数相对应。在某些条件下,显示估计嵌巢的Monte Carlo抽样对有条件期望的功能的预期值的平均正方差的最佳比率是命令计算预算向电源-2/3调高。然而,控制多数值比率的平均正方差错误更具挑战性。我们展示了Sobol的指数估计者在等式平均值中的趋同性。我们发现了一个界限,使我们能够根据偏差交易提出分配战略。提出并用数字实验来说明适应模型内在随机性并利用最佳分配知识的实用算法。