On one dimensional weighted Poincare inequalities for Global Sensitivity Analysis - Centre International de Mathématiques et d'Informatique de Toulouse
Pré-Publication, Document De Travail Année : 2024

On one dimensional weighted Poincare inequalities for Global Sensitivity Analysis

Résumé

One-dimensional Poincare inequalities are used in Global Sensitivity Analysis (GSA) to provide derivative-based upper bounds and approximations of Sobol indices. We add new perspectives by investigating weighted Poincare inequalities. Our contributions are twofold. In a first part, we provide new theoretical results for weighted Poincare inequalities, guided by GSA needs. We revisit the construction of weights from monotonic functions, providing a new proof from a spectral point of view. In this approach, given a monotonic function g, the weight is built such that g is the first non-trivial eigenfunction of a convenient diffusion operator. This allows us to reconsider the linear standard, i.e. the weight associated to a linear g. In particular, we construct weights that guarantee the existence of an orthonormal basis of eigenfunctions, leading to approximation of Sobol indices with Parseval formulas. In a second part, we develop specific methods for GSA. We study the equality case of the upper bound of a total Sobol index, and link the sharpness of the inequality to the proximity of the main effect to the eigenfunction. This leads us to theoretically investigate the construction of data-driven weights from estimators of the main effects when they are monotonic, another extension of the linear standard. Finally, we illustrate the benefits of using weights on a GSA study of two toy models and a real flooding application, involving the Poincare constant and/or the whole eigenbasis.
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Dates et versions

hal-04821120 , version 1 (05-12-2024)

Identifiants

  • HAL Id : hal-04821120 , version 1

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David Heredia, Aldéric Joulin, Olivier Roustant. On one dimensional weighted Poincare inequalities for Global Sensitivity Analysis. 2024. ⟨hal-04821120⟩
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