Methods and functions for global sensitivity analysis.
The sensitivity package implements some global sensitivity analysis methods:
Linear regression coefficients: SRC and SRRC (
src), PCC and PRCC (
Bettonvil's sequential bifurcations (Bettonvil and Kleijnen, 1996) (
Morris's "OAT" elementary effects screening method (
Derivative-based Global Sensitivity Measures:
Poincare constants for Derivative-based Global Sensitivity Measures (DGSM) (Lambon et al., 2013; Roustant et al., 2016) (
PoincareConstant) and (
Distributed Evaluation of Local Sensitivity Analysis (DELSA) (Rakovec et al., 2014) (
Variance-based sensitivity indices (Sobol' indices):
Estimation of the Sobol' first order indices with with B-spline Smoothing (Ratto and Pagano, 2010) (
Monte Carlo estimation of Sobol' indices with independent inputs (also called pick-freeze method):
Sobol' scheme (Sobol, 1993) to compute the indices given by the variance decomposition up to a specified order (
Saltelli's scheme (Saltelli, 2002) to compute first order, second order and total indices (
Saltelli's scheme (Saltelli, 2002) to compute first order and total indices (
Mauntz-Kucherenko's scheme (Sobol et al., 2007) to compute first order and total indices using improved formulas for small indices (
Jansen-Sobol's scheme (Jansen, 1999) to compute first order and total indices using improved formulas (
Martinez's scheme using correlation coefficient-based formulas (Martinez, 2011; touati, 2016) to compute first order and total indices, associated with theoretical confidence intervals (
Janon-Monod's scheme (Monod et al., 2006; Janon et al., 2013) to compute first order indices with optimal asymptotic variance (
Mara's scheme (Mara and Joseph, 2008) to compute first order indices with a cost independent of the dimension, via a unique-matrix permutations (
Owen's scheme (Owen, 2013) to compute first order and total indices using improved formulas (via 3 input independent matrices) for small indices (
Total Interaction Indices using Liu-Owen's scheme (Liu and Owen, 2006) (
sobolTIIlo) and pick-freeze scheme (Fruth et al., 2014) (
Estimation of the Sobol' first order and total indices with Saltelli's so-called "extended-FAST" method (Saltelli et al., 1999) (
Estimation of the Sobol' first order and closed second order indices using replicated orthogonal array-based Latin hypecube sample (Tissot and Prieur, 2015) (
Sobol' indices estimation under inequality constraints (Gilquin et al., 2015) by extension of the replication procedure (Tissot and Prieur, 2015) (
Estimation of the Sobol' first order and total indices with kriging-based global sensitivity analysis (Le Gratiet et al., 2014) (
Variance-based sensitivity indices (Shapley effects and Sobol' indices, with independent or dependent inputs):
Estimation by examining all permutations of inputs (Song et al., 2016) (
Estimation by randomly sampling permutations of inputs (Song et al., 2016) (
Support index functions (
support) of Fruth et al. (2015);
Sensitivity Indices based on Csiszar f-divergence (
sensiFdiv) (particular cases: Borgonovo's indices and mutual-information based indices) and Hilbert-Schmidt Independence Criterion (
sensiHSIC) of Da Veiga (2015);
Reliability sensitivity analysis by the Perturbed-Law based Indices (
PLI) of Lemaitre et al. (2015) and (
PLIquantile) of Sueur et al. (2016);
Sobol' indices for multidimensional outputs (
sobolMultOut): Aggregated Sobol' indices (Lamboni et al., 2011; Gamboa et al., 2014) and functional (1D) Sobol' indices.
Moreover, some utilities are provided: standard test-cases
testmodels) and template file generation
The sensitivity package has been designed to work either models written in R
than external models such as heavy computational codes. This is achieved with
the input argument
model present in all functions of this package.
model is expected to be either a
funtion or a predictor (i.e. an object with a
predict function such as
model = m where
m is a function, it will be invoked
y <- m(X).
model = m where
m is a predictor, it will be invoked
y <- predict(m, X).
X is the design of experiments, i.e. a
p columns (the input factors) and
n lines (each, an
y is the vector of length
n of the
The model in invoked once for the whole design of experiment.
model can be left to
NULL. This is refered to as
the decoupled approach and used with external computational codes that rarely
run on the statistician's computer. See
Gilles Pujol, Bertrand Iooss, Alexandre Janon with contributions from Paul Lemaitre for the
PLI function, Laurent Gilquin for the
sobolSalt functions, Loic le Gratiet for the
sobolGP function, Khalid Boumhaout, Taieb Touati and Bernardo Ramos for the
soboltouati functions, Jana Fruth for the
sobolTIIpf functions, Sebastien Da veiga for the
sensiHSIC functions, Joseph Guillaume for the
parameterSets functions, Olivier Roustant for the
PoincareOptimal function, Eunhye Song, Barry L. Nelson and Jeremy Staum for the
shapleyPermRand functions, Filippo Monari for the (
sobolSmthSpl) function, Frank Weber, Thibault Delage and Roelof Oomen.
(maintainer: Bertrand Iooss email@example.com)
R. Faivre, B. Iooss, S. Mahevas, D. Makowski, H. Monod, editors, 2013, Analyse de sensibilite et exploration de modeles. Applications aux modeles environnementaux, Editions Quae.
B. Iooss and A. Saltelli, 2017, Introduction: Sensitivity analysis. In: Springer Handbook on Uncertainty Quantification, R. Ghanem, D. Higdon and H. Owhadi (Eds), Springer. hrefhttp://link.springer.com/referenceworkentry/10.1007/978-3-319-11259-6_31-1
B. Iooss and P. Lemaitre, 2015, A review on global sensitivity analysis methods. In Uncertainty management in Simulation-Optimization of Complex Systems: Algorithms and Applications, C. Meloni and G. Dellino (eds), Springer.
A. Saltelli, K. Chan and E. M. Scott eds, 2000, Sensitivity Analysis, Wiley.
A. Saltelli et al., 2008, Global Sensitivity Analysis: The Primer, Wiley