| shapleyPermRand {sensitivity} | R Documentation |
Estimation of Shapley effects by random permutations of inputs (Agorithm of Song et al, 2016), in cases of independent or dependent inputs
Description
shapleyPermRand implements the Monte Carlo estimation of
the Shapley effects (Owen, 2014) and their standard errors by randomly sampling
permutations of inputs (Song et al., 2016). It also estimates full first order
and independent total Sobol' indices (Mara et al., 2015), and their standard errors.
The function also allows the estimations of all these sensitivity indices in case
of dependent inputs.
The total cost of this algorithm is Nv + m \times (d-1) \times No
\times Ni model evaluations.
Usage
shapleyPermRand(model = NULL, Xall, Xset, d, Nv, m, No = 1, Ni = 3, colnames = NULL, ...)
## S3 method for class 'shapleyPermRand'
tell(x, y = NULL, return.var = NULL, ...)
## S3 method for class 'shapleyPermRand'
print(x, ...)
## S3 method for class 'shapleyPermRand'
plot(x, ylim = c(0, 1), ...)
## S3 method for class 'shapleyPermRand'
ggplot(data, mapping = aes(), ylim = c(0, 1), title = NULL,
..., environment = parent.frame())
Arguments
model |
a function, or a model with a |
Xall |
Xall(n) is a function to generate a n-sample of a d-dimensional input vector (following the required joint distribution). |
Xset |
Xset(n, Sj, Sjc, xjc) is a function to generate a n-sample of a d-dimensional input vector corresponding to the indices in Sj conditional on the input values xjc with the index set Sjc (following the required joint distribution). |
d |
number of inputs. |
Nv |
Monte Carlo sample size to estimate the output variance. |
m |
Number of randomly sampled permutations. |
No |
Outer Monte Carlo sample size to estimate the expectation of the conditional variance of the model output. |
Ni |
Inner Monte Carlo sample size to estimate the conditional variance of the model output. |
colnames |
Optional: A vector containing the names of the inputs. |
x |
a list of class |
data |
a list of class |
y |
a vector of model responses. |
return.var |
a vector of character strings giving further
internal variables names to store in the output object |
ylim |
y-coordinate plotting limits. |
title |
a title of the plot with ggplot() function. |
mapping |
Default list of aesthetic mappings to use for plot. If not specified, must be supplied in each layer added to the plot. |
environment |
[Deprecated] Used prior to tidy evaluation. |
... |
any other arguments for |
Details
This function requires R package "gtools".
The default values No = 1 and Ni = 3 are the optimal ones obtained by the theoretical analysis of Song et al., 2016.
The computations of the standard errors do not consider the samples to estimate expectation of conditional variances. They are only made regarding the random permutations and are based on the variance of the Monte carlo estimates divided by m. The confidence intervals at 95% correspond to +- 1.96 standard deviations.
Value
shapleyPermRand returns a list of class "shapleyPermRand", containing
all the input arguments detailed before, plus the following components:
call |
the matched call. |
X |
a |
y |
the response used. |
E |
the estimation of the ouput mean. |
V |
the estimation of the ouput variance. |
Shapley |
the estimations of the Shapley effects. |
SobolS |
the estimations of the full first-order Sobol' indices. |
SobolT |
the estimations of the independent total sensitivity Sobol' indices. |
Users can ask more ouput variables with the argument return.var
(for example, the list of permutations perms).
Author(s)
Bertrand Iooss, Eunhye Song, Barry L. Nelson, Jeremy Staum
References
B. Iooss and C. Prieur, 2019, Shapley effects for sensitivity analysis with correlated inputs: comparisons with Sobol' indices, numerical estimation and applications, International Journal of Uncertainty Quantification, 9, 493–514.
T. Mara, S. Tarantola, P. Annoni, 2015, Non-parametric methods for global sensitivity analysis of model output with dependent inputs, Environmental Modeling & Software 72, 173–183.
A.B. Owen, 2014, Sobol' indices and Shapley value, SIAM/ASA Journal of Uncertainty Quantification, 2, 245–251.
A.B. Owen and C. Prieur, 2016, On Shapley value for measuring importance of dependent inputs, SIAM/ASA Journal of Uncertainty Quantification, 5, 986–1002.
E. Song, B.L. Nelson, and J. Staum, 2016, Shapley effects for global sensitivity analysis: Theory and computation, SIAM/ASA Journal of Uncertainty Quantification, 4, 1060–1083.
See Also
shapleyPermEx, shapleyLinearGaussian, shapleySubsetMc, shapleysobol_knn
Examples
##################################
# Test case : the Ishigami function
# See Iooss and Prieur (2019)
library(gtools)
d <- 3
Xall <- function(n) matrix(runif(d*n,-pi,pi),nc=d)
Xset <- function(n, Sj, Sjc, xjc) matrix(runif(n*length(Sj),-pi,pi),nc=length(Sj))
x <- shapleyPermRand(model = ishigami.fun, Xall=Xall, Xset=Xset, d=d, Nv=1e4, m=1e4, No = 1, Ni = 3)
print(x)
plot(x)
library(ggplot2)
ggplot(x)
##################################
# Test case : Linear model (3 Gaussian inputs including 2 dependent)
# See Iooss and Prieur (2019)
library(ggplot2)
library(gtools)
library(mvtnorm) # Multivariate Gaussian variables
library(condMVNorm) # Conditional multivariate Gaussian variables
modlin <- function(X) apply(X,1,sum)
d <- 3
mu <- rep(0,d)
sig <- c(1,1,2)
ro <- 0.9
Cormat <- matrix(c(1,0,0,0,1,ro,0,ro,1),d,d)
Covmat <- ( sig %*% t(sig) ) * Cormat
Xall <- function(n) mvtnorm::rmvnorm(n,mu,Covmat)
Xset <- function(n, Sj, Sjc, xjc){
if (is.null(Sjc)){
if (length(Sj) == 1){ rnorm(n,mu[Sj],sqrt(Covmat[Sj,Sj]))
} else{ mvtnorm::rmvnorm(n,mu[Sj],Covmat[Sj,Sj])}
} else{ condMVNorm::rcmvnorm(n, mu, Covmat, dependent.ind=Sj, given.ind=Sjc, X.given=xjc)}}
m <- 1e3 # put m)1e4 for more precised results
x <- shapleyPermRand(model = modlin, Xall=Xall, Xset=Xset, d=d, Nv=1e3, m = m, No = 1, Ni = 3)
print(x)
ggplot(x)