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On-line Pick-Freeze Mirror algorithm for Sensitity Analysis

Author

Listed:
  • Costa, Manon
  • Gadat, Sébastien
  • Gendre, Xavier
  • Klein, Thierry

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 optimization problem over a simplex, 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.

Suggested Citation

  • Costa, Manon & Gadat, Sébastien & Gendre, Xavier & Klein, Thierry, 2026. "On-line Pick-Freeze Mirror algorithm for Sensitity Analysis," TSE Working Papers 26-1751, Toulouse School of Economics (TSE).
    • Handle: RePEc:tse:wpaper:131794
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