Computing Shapley Effects for Sensitivity Analysis

Elmar Plischke, Giovanni Rabitti, Emanuele Borgonovo

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

Shapley effects are attracting increasing attention as sensitivity measures. When the value function is the conditional variance, they account for the individual and higher order effects of a model input. They are also well defined under model input dependence. However, one of the issues associated with their use is computational cost. We present new algorithms that offer major improvements for the computation of Shapley effects, reducing computational burden by several orders of magnitude (from k! · k to 2 k, where k is the number of inputs) with respect to currently available implementations. These algorithms work in the presence of input dependencies. With these new algorithms, one may estimate all generalized (Shapley–Owen) effects for interactions.

Original languageEnglish
Pages (from-to)1411–1437
Number of pages27
JournalSIAM/ASA Journal on Uncertainty Quantification
Volume9
Issue number4
Early online date11 Oct 2021
DOIs
Publication statusPublished - Oct 2021

Keywords

  • Computer experiments
  • Global sensitivity
  • Möbius inverse
  • Pick’n’freeze sampling
  • Shapley value

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation
  • Statistics, Probability and Uncertainty
  • Discrete Mathematics and Combinatorics
  • Applied Mathematics

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