Proportional Marginal Effects for Global Sensitivity Analysis

Abstract

SIAM/ASA Journal on Uncertainty Quantification, Volume 12, Issue 2, Page 667-692, June 2024.
Abstract.Performing (variance-based) global sensitivity analysis (GSA) with dependent inputs has recently benefited from cooperative game theory concepts, leading to meaningful sensitivity indices suitable with dependent inputs. The “Shapley effects,” i.e., the Shapley values transposed to variance-based GSA problems, are an example of such indices. However, these indices exhibit a particular behavior that can be undesirable: an exogenous input (i.e., which is not explicitly included in the structural equations of the model) can be associated with a strictly positive index when it is correlated to endogenous inputs. This paper investigates using a different allocation, called the “proportional values” for GSA purposes. First, an extension of this allocation is proposed to make it suitable for variance-based GSA. A novel GSA index is then defined: the proportional marginal effect (PME). The notion of exogeneity is formally defined in the context of variance-based GSA. It is shown that the PMEs are more discriminant than the Shapley values and allow the distinction of exogenous variables, even when they are correlated to endogenous inputs. Moreover, their behavior is compared to the Shapley effects on analytical toy cases and more realistic use cases.