Sobol tensor trains for global sensitivity analysis

Abstract

Sobol indices are a widespread quantitative measure for variance-based global sensitivity analysis, but computing and utilizing them remains challenging for high-dimensional systems. We propose the tensor train decomposition (TT) as a unified framework for surrogate modeling and sensitivity analysis via Sobol indices. We first overview several strategies to build a TT surrogate using either an adaptive sampling strategy or a predefined set of samples. Our main contribution is the introduction of the Sobol TT, which compactly represents variance components for all possible joint variable interactions of any order. Our formulation allows efficient aggregation and subselection operations, and we are able to obtain related Sobol indices (closed, total, and superset indices) at negligible cost. Furthermore, we exploit an existing global optimization procedure within the TT framework for variable selection and model analysis tasks. We demonstrate our algorithms with two analytical models and a parallel computing simulation data set.