Derivative Based Global Sensitivity Analysis and Its Entropic Link

Variance-based Sobol' sensitivity is one of the most well-known measures in global sensitivity analysis (GSA). However, uncertainties with certain distributions, such as highly skewed distributions or those with a heavy tail, cannot be adequately characterized using the second central moment only. Entropy-based GSA can consider the entire probability density function, but its application has been limited because it is difficult to estimate. Here we present a novel derivative-based upper bound for conditional entropies, to efficiently rank uncertain variables and to work as a proxy for entropy-based total effect indices. To overcome the non-desirable issue of negativity for differential entropies as sensitivity indices, we discuss an exponentiation of the total effect entropy and its proxy. Numerical verifications demonstrate that the upper bound is tight for monotonic functions and it provides the same input variable ranking as the entropy-based indices for about three-quarters of the 1000 random functions tested. We found that the new entropy proxy performs similarly to the variance-based proxies for a river flood physics model with eight inputs of different distributions, and these two proxies are equivalent in the special case of linear functions with Gaussian inputs. We expect the new entropy proxy to increase the variable screening power of derivative-based GSA and to complement Sobol'-indices proxy for a more diverse type of distributions.