CWI Seminar with Anne Eggels (CWI), Sensitivity analysis by Gaussian processes
Sobol indices are in UQ the most well-known method to compute sensitivity indices. In recent times however, methods based on divergences emerge. These divergence-based indices can be computed by Monte Carlo sampling of the input space to obtain output samples, which are then combined with kernel density estimation. In practice, the number of output samples available is limited, which leads to multiple problems. Therefore, we propose to use a Gaussian process in order to obtain predictions for more locations in the input space. An extra benefit from this is the availability of confidence intervals for the sensitivity indices computed in this way.
Thursday 7 February, 10 am
Science Park 123
1098 XG Amsterdam