Gaussian Linear Approximation for the Estimation of the Shapley Effects

摘要

In this paper, we address the estimation of sensitivity indices called "Shapley effects." These sensitivity indices enable one to handle dependent input variables. The Shapley effects are generally difficult to estimate, but they are easily computable in the Gaussian linear framework. The aim of this work is to use the values of the Shapley effects in an approximated Gaussian linear framework as estimators of the true Shapley effects corresponding to a nonlinear model. First, we consider Gaussian input variables with small variances. We provide rates of convergence of the estimated Shapley effects to the true Shapley effects. Then, we focus on the case where the inputs are given by a non-Gaussian empirical mean. We prove that, under some mild assumptions, when the number of terms in the empirical mean increases, the difference between the true Shapley effects and the estimated Shapley effects given by the Gaussian linear approximation converges to 0. Our theoretical results are supported by numerical studies, showing that the Gaussian linear approximation is accurate and enables one to decrease the computational time significantly.