Global sensitivity analysis using derivative-based sparse Poincaré chaos expansions

by   Nora Lüthen, et al.

Variance-based global sensitivity analysis, in particular Sobol' analysis, is widely used for determining the importance of input variables to a computational model. Sobol' indices can be computed cheaply based on spectral methods like polynomial chaos expansions (PCE). Another choice are the recently developed Poincaré chaos expansions (PoinCE), whose orthonormal tensor-product basis is generated from the eigenfunctions of one-dimensional Poincaré differential operators. In this paper, we show that the Poincaré basis is the unique orthonormal basis with the property that partial derivatives of the basis form again an orthogonal basis with respect to the same measure as the original basis. This special property makes PoinCE ideally suited for incorporating derivative information into the surrogate modelling process. Assuming that partial derivative evaluations of the computational model are available, we compute spectral expansions in terms of Poincaré basis functions or basis partial derivatives, respectively, by sparse regression. We show on two numerical examples that the derivative-based expansions provide accurate estimates for Sobol' indices, even outperforming PCE in terms of bias and variance. In addition, we derive an analytical expression based on the PoinCE coefficients for a second popular sensitivity index, the derivative-based sensitivity measure (DGSM), and explore its performance as upper bound to the corresponding total Sobol' indices.


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