Conditional

By C. Fehringer. 2019

. In the context of sensitivity analysis of complex phenomena in presence of uncertainty, 4 we motivate and precise the idea of orienting the analysis towards a critical domain of the studied 5 phenomenon. For this, target and conditional sensitivity analyses are defined. We make a brief 6 history of related approaches in the literature, and propose a more general and systematic approach. 7 Nonparametric measures of dependence being well-suited to this approach, we also make a review of 8 available methods and of their use for sensitivity analysis, and clarify some of their properties. Then, 9 we focus our attention on sensitivity indices based on correlation ratio, namely Sobol’ indices, and 10 on two dependence measures: the kernel quadratic dependence measure also called Hilbert–Schmidt 11 independence criterion and the Csiszár divergence dependence measure. We propose adapted versions 12 of these tools for target and conditional analysis, by considering transformation of the output using 13 hard or smooth weight functions. Finally, we show on synthetic numerical experiments both the 14 interest of target and conditional sensitivity analysis, and the efficiency of the dependence measures. 15 We also illustrate the relevance of the proposed smooth versions for conditional estimators. 16

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