Back to Search
Start Over
Randomized pick-freeze for sparse Sobol indices estimation in high dimension
- Publication Year :
- 2014
-
Abstract
- This article investigates a new procedure to estimate the influence of each variable of a given function defined on a high-dimensional space. More precisely, we are concerned with describing a function of a large number $p$ of parameters that depends only on a small number $s$ of them. Our proposed method is an unconstrained $\ell_{1}$-minimization based on the Sobol's method. We prove that, with only $\mathcal O(s\log p)$ evaluations of $f$, one can find which are the relevant parameters.
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1403.5537
- Document Type :
- Working Paper