Complete Variance

Decomposition Methods
Cdric J. Sallaberry
) (x y f =
| |
nX
x x x , , ,
2 1
= x
| |
nY
y y y , , ,
2 1
= y
f
Sensitivity Analysis
Question: What part of the uncertainty in y can be explained by the uncertainty
in each element of x ?
is a vector of uncertain inputs
is a vector of results
is a complex function (succession of different codes, systems of pde, ode )
Traditional Sampling-Based Sensitivity Method
Capture linear relationship between one input and one output ( CC, PCC, SRC)
Capture monotonic relationship between one input and one output (RCC, PRCC, SRRC)
2
Limit on traditional methods: Non-monotonic influence
2
1
) 5 . 0 ( = x y

<
=
else
5 . 0 if .75 0
x
x
y
Traditional methods will fail to capture this kind of relationship between x and y
3
2 1 2 1
.x x x x y + =
2 1 2 1
.x x x x y + + =
Such relation will not be captured with traditional sampling-based sensitivity analysis
Limit on traditional methods: Conjoint Influence
4
High dimensional Model representation (1/3)
5
We would like to find a method that :
capture any kind of relationship between input and output
capture conjoint influence
( ) ( ) ( )
nX nX
i i j
j i ij
nX
i
i i
x x x f x x f x f f f y , , , , ) (
2 1 ,..., 2 , 1
1
0
+ + + + = =

> =
x
Main Idea: Decompose the function into functions depending on any possible combinations of inputs
However, this decomposition is NOT unique
If all the parameters are orthogonal and if
then the decomposition is unique
| | y f E
0
=
| | ( ) ( ) ( )
nX nX
i i j
j i ij
nX
i
i i
x x x f x x f x f y y , , , , E
2 1 ,..., 2 , 1
1
+ + + =

> =
( )
nX
i i j
j i
nX
i
i
V V V y
,..., 2 , 1 ,
1
V + + + =

> =

( )

d ... d ) ,..., (
with
1 1
2
,..., 2 , 1 ,..., 2 , 1
2

=
=

nX nX nX nX
i i i i
x x x x f V
dx x f V

Decomposition of the variance of y
6
High dimensional Model representation (2/3)
Since all terms are orthogonal, the cross
products are all equal to zero
One important consequence is that we have to consider independence between input parameters
( )
nX
i i j
j i
nX
i
i
V V V y
,..., 2 , 1 ,
1
V + + + =

> =

nX
i i j
j i
nX
i
i
S S S
,..., 2 , 1 ,
1
1 + + + =

> =


of variance the to
parameters all of n interactio the of on contributi
of variance the to
and of n interactio the of on contributi
of variance the to of on contributi
with
,..., 2 , 1

y
S
y
x x S
y x S

nX
j i ij
i i

Dividing
by
) ( V y
Sensitivity indices
7
High dimensional Model representation (3/3)
Difference between the mean
If we know x
i
and the mean
If we dont know it.
) (x f y =
) ( E ) | ( E ) ( y x y x f
i i i
=
) (
i i
x f
1
x
i
x
i j j
x
,
We calculate the
average of the function f
for a given value of x
i
Monte Carlo Approach
Two samples of size nS are
created
Same set of value for x
i
Different set of values for
all other x
j
, j i
Same operation done for
each x
i
, i=1,,nX
8
Sobol Variance Decomposition (1/4)
Sobol variance decomposition (2/3)
) (
i i
x f
i
x
) (
2
i i
x f
i
x
( )

=
i i i i
dx x f V
2
V
i
integration of the square of f
i
on the whole range of x
i
.
9
Sobol variance decomposition (3/3)
Higher Order
By fixing the value of x
i
andx
j
(j i) the conjoint influence of x
i
and x
j
can be
calculated.
S
i,j
, representing the influence of the sole interaction of x
i
and x
j
, is defined by
integrating
Higher order, up to V
1,2,,nX
can be defined the same way
) ( E ) | ( E ) | ( E ) , | ( E ) , (
,
y x y x y x x y x x f
j i j i j i j i
+ =
calculated in the previous step
Total Order
By fixing the value of all variables but x
i
one can calculate the influence of all inputs
with their interactions, except with x
i
(S
-i
).
The difference S
Ti
=1 S
-i
represents the influence of x
i
solely and all its interaction
with the others inputs.
This index is called total sensitivity index of x
i
.
10
0
) ( ) ( ) ( ) | (
) ( ) ( ) ( ) | (
) ( ) ( ) (
0 0
0

1

3 2 1 1 3 3 2 2 1

1 1 1

0 3 2 3 3 2 2 1

1 1 1 1 1 1
1 3 2
1 3 2
1
=
=
=
|
|
.
|

\
|
=
=

f f
f dx dx dx x p x p x p x x f
dx x p f dx dx x p x p x x f
dx x p x f f E
S S S
S S S
S
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Properties of Sobol Variance Decomposition (1/2)
Examples in dimension 3: Expected value of f
1
equal to zero
Indeed, we have
and f
0
is constant
relatively to x
1
Since the function f is
integrated on , we can
replace with

=
1

1 1 1
1 ) (
S
dx x p
) | (
1
x x f

S
) (

x f
12
Properties of Sobol Variance Decomposition (2/2)
0
) ( ). ( ) ( ) (
) ( ) (
,
2 3 1

2 3 2 2 3 3

1 1 1 1 1 0

1 1 0
1 0
=
(
(

=
=

S S S
S
dx dx x p x p dx x p x f f
dV x p x f f
f f
0
) ( ) ( ) ( ) ( ) (
) ( ) ( ) (
,
3 2 1

3 3 3

2 2 2 2 2

1 1 1 1 1

2 2 1 1
2 1
=
(
(

(
(

=
=

S S S
S
dx x p dx x p x f dx x p x f
dV x p x f x f
f f
Examples in dimension 3: Two proofs of orthogonality

= =

S
dV x p x h x g h g

0 ) ( ) ( ) ( ,
Definition: Two functions g and h defined on are said to be
orthogonal if their inner (or dot) product is equal to 0 :
3 2 1

S S S S =
=0 as shown in
previous slide
Fourier Amplitude Sensitivity Test (1/3)
( ) ( ) ( ) | |

s G s G s G f
x x x p x x x f p f
nX nX
r
nX nX
r r
sin , , sin , sin
2
1
d ... d d ) ( ) , , , ( d ) ( ) (
2 2 1 1
2 1 2 1

x x x x
Basic Idea
In the moments calculation, converting the output from a function of nX variables (i.e.,
the elements x
i
of x) to a function of one variable (i.e., s) lead to convert the multi-
dimensional integral to a mono-dimensional integral.
Each input x
i
is associated with a unique frequency
i
The functions G
i
are used to provide a better coverage of the domain
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Fourier Amplitude Sensitivity Test (2/3)
Small frequencies
Good approximation of
search curve with a small
number of points
Good coverage of the
domain
Large frequencies
But
Bad coverage of the
domain
But
Need large number of
points for approximating
the search function
14
Fourier Amplitude Sensitivity Test (3/3)
( ) ( ) ( ) | |
( )

1
2 2
2 2 1 1
2
sin , , sin , sin
2
1
) ( V
k
k k
nX nX
r
B A
s G s G s G f y

Fourier Series Representation
where
( ) ( ) ( ) | |
( ) ( ) ( ) | |

s ks s G s G s G f B
s ks s G s G s G f A
nX nX k
nX nX k
d ) sin( sin , , sin , sin
1
d ) cos( sin , , sin , sin
1
2 2 1 1
2 2 1 1

( )

=
+
1
2 2
i
2 ) ( V
k
k k
i i
B A y

15
Example Function for illustration
| | ) 25 . 1 ( 3 cos ) ( ) , (
2 2
+ + + + = U V g V U V U V U f
with
|
|
|
|
.
|

\
|
|
|
|
|
.
|

\
|

= 10 , 10 ,
43
33
1
43
22
1
43
11
1
max min ) (
V V V
V g
Highly nonlinear and non-monotonic function
Involving complex interaction between U and V
singularities for V=11/43, V=22/43 and V=33/43
16
Example Traditional Sensitivity Results
CC RCC PCC PRCC SRC SRRC
U
0.1035 0.1103 0.1162 0.1217 0.1051 0.1110
V
0.4267 0.4100 0.4294 0.4127 0.4271 0.4102
R
2
equal to ~0.19 (19% of the variance explained)
17
Example Sobol variance decomposition
Parameter S
j
S
Tj
U (~j =1)
8.53x10
-4
0.686
V (~j =2)
0.295 0.979
Almost 98% of the variance is explained
18
Example FAST
Parameter S
j
S
Tj
U (~j =1)
1.18 x 10
-2
0.700
V (~j =2)
0.225 0.973
92%to 98%of the variance is explained
19
Conclusion
Strong Points of Variance Decomposition Methods
Capture nonlinear and nonmonotonic relationship between input and output
Allows calculation of conjoint influence of two or more inputs
Weak Points of Variance Decomposition Methods
Non negligible cost in number of simulations required
Suppose input parameters are independent to each other
20
References
This work has been performed at Sandia National Laboratories (SNL), which is a multiprogram
laboratory operated by Sandia Corporation, a Lockheed Martin company, for the United States
Departement of Energys National Nuclear Security Administration under contract DE-AC04-
94AL-85000. Review provided at SNL by Rob Rechard and Kathryn Knowles.
FAST
Cukier, R.I., H.B. Levine, and K.E. Shuler, Nonlinear Sensitivity Analysis of Multiparameter Model
Systems. J ournal of Computational Physics, 1978. 26(1): p. 1-42
Saltelli, A., S. Tarantola, and K.P.-S. Chan, A Quantitative Model-Independent Method for Global
Sensitivity Analysis of Model Output. Technometrics, 1999. 41(1): p. 39-56.
SOBOL
Sobol', I.M., Sensitivity Estimates for Nonlinear Mathematical Models. Mathematical Modeling &
Computational Experiment, 1993. 1(4): p. 407-414.
Calculation done with the software Simlab, available at
http://webfarm.jrc.cec.eu.int/uasa/
see the related paper for many more
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