Crossed-Derivative Based Sensitivity Measures for Interaction Screening

Global sensitivity analysis is used to quantify the influence of input variables on a numerical model output. Sobol' indices are now classical sensitivity measures. However their estimation requires a large number of model evaluations, especially when interaction effects are of interest. Derivative-based global sensitivity measures (DGSM) have recently shown their efficiency for the identification of non-influential inputs. In this paper, we define crossed DGSM, based on second-order derivatives of model output. By using a L2- Poincaré inequality, we provide a crossed-DGSM based maximal bound for the superset importance (i.e. total Sobol' indices of an interaction between two inputs). In order to apply this result, we discuss how to estimate the Poincaré constant for various probability distributions. Several analytical and numerical tests show the performance of the bound and allow to develop a generic strategy for interaction screening

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Field Value
Source ISSN: 0378-4754
Author Roustant, Olivier, Fruth, Jana, Iooss, Bertrand, Kuhnt, Sonja
Maintainer CCSD
Last Updated May 5, 2026, 10:33 (UTC)
Created May 5, 2026, 10:33 (UTC)
Identifier hal-00845446
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Méthodes d'Analyse Stochastique des Codes et Traitements Numériques (GdR MASCOT-NUM) ; Institut National des Sciences Mathématiques et de leurs Interactions - CNRS Mathématiques (INSMI-CNRS)-Centre National de la Recherche Scientifique (CNRS)
creator Roustant, Olivier
date 2014-11-05T00:00:00
harvest_object_id 57a10490-11ea-4ee1-be6e-e022c4b26929
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-04-13T00:00:00
relation info:eu-repo/semantics/altIdentifier/doi/10.1016/j.matcom.2014.05.005
set_spec type:ART