Gaussian Linear Approximation for the Estimation of the Shapley Effects

DOI10.1137/20M1342884zbMath1473.90167arXiv2006.02087MaRDI QIDQ5158917

François Bachoc, Jean-Marc Martinez, Baptiste Broto, Marine Depecker

Publication date: 26 October 2021

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.02087

zbMATH Keywords

sensitivity analysisShapley effectsGaussian linear approximation

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Reasoning under uncertainty in the context of artificial intelligence (68T37)

Uses Software

• TAPENADE
• sensitivity

Cites Work

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• Approximate forward-backward algorithm for a switching linear Gaussian model
• The design and analysis of computer experiments.
• Generalized Hoeffding-Sobol decomposition for dependent variables -- application to sensitivity analysis
• Sensitivity indices for independent groups of variables
• Sobol' Indices and Shapley Value
• Statistical inference for Sobol pick-freeze Monte Carlo method
• Shapley Effects for Global Sensitivity Analysis: Theory and Computation
• Variance Reduction for Estimation of Shapley Effects and Adaptation to Unknown Input Distribution
• On Shapley Value for Measuring Importance of Dependent Inputs
• Shapley effects for sensitivity analysis with dependent inputs: bootstrap and kriging-based algorithms
• SHAPLEY EFFECTS FOR SENSITIVITY ANALYSIS WITH CORRELATED INPUTS: COMPARISONS WITH SOBOL' INDICES, NUMERICAL ESTIMATION AND APPLICATIONS
• On a Uniform Estimate of the Rate of Convergence in the Multidimensional Local Limit Theorem for Densities

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