Skip to content

Commit

Permalink
Added references to bibliography for GSI
Browse files Browse the repository at this point in the history
  • Loading branch information
Prateek Bhustali committed May 23, 2022
1 parent e3f0d7a commit 168f7d3
Show file tree
Hide file tree
Showing 3 changed files with 19 additions and 8 deletions.
6 changes: 2 additions & 4 deletions docs/code/sensitivity/generalised_sobol/README.rst
Original file line number Diff line number Diff line change
Expand Up @@ -5,10 +5,8 @@ These examples serve as a guide for using the GSI sensitivity module. They have

1. **Mechanical oscillator ODE**

The GSI sensitivity indices are computed for a mechanical oscillator governed by a second-order differential equation [1]_. The model outputs the displacement of the oscillator for a given time period. Unlike the pointwise-in-time Sobol indices, which provide the sensitivity of the model parameters at each point in time, the GSI indices summarise the sensitivities of the model parameters over the entire time period.
The GSI sensitivity indices are computed for a mechanical oscillator governed by a second-order differential equation :cite:`GSI`. The model outputs the displacement of the oscillator for a given time period. Unlike the pointwise-in-time Sobol indices, which provide the sensitivity of the model parameters at each point in time, the GSI indices summarise the sensitivities of the model parameters over the entire time period.

2. **Toy example**

The GSI sensitivity indices are computed for a toy model whose analytical solution is given in [1]_.

.. [1] Gamboa F, Janon A, Klein T, Lagnoux A, others. Sensitivity analysis for multidimensional and functional outputs. Electronic journal of statistics 2014; 8(1): 575-603.
The GSI sensitivity indices are computed for a toy model whose analytical solution is given in :cite:`GSI`.
16 changes: 16 additions & 0 deletions docs/source/bibliography.bib
Original file line number Diff line number Diff line change
Expand Up @@ -785,3 +785,19 @@ @article{CVM
URL = {https://doi.org/10.1137/15M1025621},
eprint = {https://doi.org/10.1137/15M1025621},
}


# Generalised Sobol index
@article{GSI,
author = {Fabrice Gamboa and Alexandre Janon and Thierry Klein and Agnès Lagnoux},
title = {{Sensitivity analysis for multidimensional and functional outputs}},
volume = {8},
journal = {Electronic Journal of Statistics},
number = {1},
publisher = {Institute of Mathematical Statistics and Bernoulli Society},
pages = {575 -- 603},
keywords = {Concentration inequalities, quadratic functionals, Semi-parametric efficient estimation, sensitivity analysis, Sobol indices, temporal output, vector output},
year = {2014},
doi = {10.1214/14-EJS895},
URL = {https://doi.org/10.1214/14-EJS895}
}
5 changes: 1 addition & 4 deletions docs/source/sensitivity/generalised_sobol.rst
Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
Generalised Sobol indices
----------------------------------------

A natural generalization of the Sobol indices (that are classically defined for single-output models) for multi-output models. The generalised Sobol indices are computed using the Pick-and-Freeze approach. (For implementation details, see also [1]_.)
A natural generalization of the Sobol indices (that are classically defined for single-output models) for multi-output models. The generalised Sobol indices are computed using the Pick-and-Freeze approach. (For implementation details, see also :cite:`GSI`.)

Consider a model :math:`Y=f(X): \mathbb{R}^d \rightarrow \mathbb{R}^k` with :math:`d` inputs :math:`X=\left[ X_{1}, X_{2},…,X_{d} \right]` and :math:`k` outputs :math:`Y=\left[ Y_{1}, Y_{2},…,Y_{k} \right]`.

Expand Down Expand Up @@ -47,9 +47,6 @@ and
\Sigma_{N}=\frac{1}{N} \sum_{j=1}^{N} \frac{Y_{j} Y_{j}^{t}+Y_{j}^{\mathbf{i}}\left(Y_{j}^{\mathbf{i}}\right)^{t}}{2}-\left(\frac{1}{N} \sum_{j=1}^{N} \frac{Y_{j}+Y_{j}^{\mathbf{i}}}{2}\right)\left(\frac{1}{N} \sum_{j=1}^{N} \frac{Y_{j}+Y_{j}^{\mathbf{i}}}{2}\right)^{t}
.. [1] Gamboa F, Janon A, Klein T, Lagnoux A, others. Sensitivity analysis for multidimensional and functional outputs. Electronic journal of statistics 2014; 8(1): 575-603.(`Link <https://hal.inria.fr/hal-00881112/document>`_)
Generalised Sobol Class
^^^^^^^^^^^^^^^^^^^^^^^^^^

Expand Down

0 comments on commit 168f7d3

Please sign in to comment.