Sensitivity Analysis on the Sphere and a Spherical ANOVA Decomposition

Abstract

We establish sensitivity analysis on the sphere. We present formulas that allow us to decompose a function $f\colon \mathbb S^d\rightarrow \mathbb R$ into a sum of terms $f_{\boldsymbol u,\boldsymbol ξ}$. The index $\boldsymbol u$ is a subset of $\{1,2,\ldots,d+1\}$, where each term $f_{\boldsymbol u,\boldsymbol ξ}$ depends only on the variables with indices in $\boldsymbol u$. In contrast to the classical analysis of variance (ANOVA) decomposition, we additionally use the decomposition of a function into functions with different parity, which adds the additional parameter $\boldsymbol ξ$. The natural geometry on the sphere naturally leads to the dependencies between the input variables. Using certain orthogonal basis functions for the function approximation, we are able to model high-dimensional functions with low-dimensional variable interactions.