论文标题
用于用于空间输出模型的全球灵敏度分析的功能主成分分析
Functional principal component analysis for global sensitivity analysis of model with spatial output
论文作者
论文摘要
由于沿海洪水的风险评估,我们考虑了具有空间输出的耗时的模拟器。目的是进行灵敏度分析(SA),量化输入参数对输出的影响。有三个主要问题。首先,由于计算时间,标准SA技术不能直接应用于模拟器上。其次,如果输出离散化,输出是无限的尺寸,或者至少是高维的。第三,空间输出是非平稳的,并且表现出强烈的局部变化。我们证明,可以使用功能性PCA(FPCA)一起解决所有这些问题。我们首先指定旨在处理局部变化的功能基础,例如小波或b-splines。其次,我们选择最有影响力的基础术语,要么具有术后能量标准,要么以惩罚回归方法直接基于原始基础。然后,FPCA通过在最具影响力的基础系数上进行临时度量来进一步降低维度。最后,快速评估的元模型建立在少数选定的主要组件上。他们提供了可以完成SA的代理。作为副产品,我们获得了基于方差的灵敏度指数的分析公式,假设基础函数正常函数概括了已知公式。
Motivated by risk assessment of coastal flooding, we consider time-consuming simulators with a spatial output. The aim is to perform sensitivity analysis (SA), quantifying the influence of input parameters on the output. There are three main issues. First, due to computational time, standard SA techniques cannot be directly applied on the simulator. Second, the output is infinite dimensional, or at least high dimensional if the output is discretized. Third, the spatial output is non-stationary and exhibits strong local variations. We show that all these issues can be addressed all together by using functional PCA (FPCA). We first specify a functional basis, such as wavelets or B-splines, designed to handle local variations. Secondly, we select the most influential basis terms, either with an energy criterion after basis orthonormalization, or directly on the original basis with a penalized regression approach. Then FPCA further reduces dimension by doing PCA on the most influential basis coefficients, with an ad-hoc metric. Finally, fast-to-evaluate metamodels are built on the few selected principal components. They provide a proxy on which SA can be done. As a by-product, we obtain analytical formulas for variance-based sensitivity indices, generalizing known formula assuming orthonormality of basis functions.