The $f$-Sensitivity Index (1512.02303v1)

Abstract: This article presents a general multivariate $f$-sensitivity index, rooted in the $f$-divergence between the unconditional and conditional probability measures of a stochastic response, for global sensitivity analysis. Unlike the variance-based Sobol index, the $f$-sensitivity index is applicable to random input following dependent as well as independent probability distributions. Since the class of $f$-divergences supports a wide variety of divergence or distance measures, a plethora of $f$-sensitivity indices are possible, affording diverse choices to sensitivity analysis. Commonly used sensitivity indices or measures, such as mutual information, squared-loss mutual information, and Borgonovo's importance measure, are shown to be special cases of the proposed sensitivity index. New theoretical results, revealing fundamental properties of the $f$-sensitivity index and establishing important inequalities, are presented. Three new approximate methods, depending on how the probability densities of a stochastic response are determined, are proposed to estimate the sensitivity index. Four numerical examples, including a computationally intensive stochastic boundary-value problem, illustrate these methods and explain when one method is more relevant than the others.