On-line Pick-Freeze Mirror algorithm for Sensitity Analysis

Abstract

The main objective of this paper is to propose a new approach for estimating the entire collection of Sobol' indices simultaneously. Our approach exploits the fact that Sobol' indices can be rewritten as solutions to an optimisation problem over the simplex of $\R^d$, to construct an online sequence of estimators using a stochastic mirror descent algorithm. We prove that our estimation procedure is consistent and provide a non-asymptotic upper bound for its rate of convergence. Furthermore, we demonstrate the numerical accuracy of our method and compare it with other classical estimation procedures.