Global Sensitivity Analysis for Optimization with Variable Selection

DOI10.1137/18M1167978zbMath1421.49032arXiv1811.04646OpenAlexW3125143846MaRDI QIDQ5228363

Adrien Spagnol, Rodolphe Le Riche, Sébastien Da Veiga

Publication date: 12 August 2019

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

Full work available at URL: https://arxiv.org/abs/1811.04646

zbMATH Keywords

optimizationsensitivity analysisvariable selectionHilbert-Schmidt independence criterion (HSIC)

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Sensitivity analysis for optimization problems on manifolds (49Q12)

Related Items (3)

Goal-oriented sensitivity analysis of hyperparameters in deep learning ⋮ Bayesian Optimization of Expected Quadratic Loss for Multiresponse Computer Experiments with Internal Noise ⋮ Gaussian Process-Based Dimension Reduction for Goal-Oriented Sequential Design

Uses Software

• nloptr

Cites Work

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