English

Improving Discrepancy Measures for Global Sensitivity Analysis

Methodology 2026-07-30 v1

Abstract

Sensitivity analysis methods based on Sobol' total-order indices (TiT_i) are well-founded but computationally demanding. A recently proposed ersatz discrepancy measure offers a cheaper alternative by quantifying deviations from uniformity in input--output scatterplots, yet lacks theoretical grounding and has not been benchmarked against other data-given estimators. We introduce an adjusted ersatz discrepancy that rank-transforms the output before gridding and imputes isolated empty cells via a Moore-neighbourhood rule, substantially improving agreement with TiT_i. We prove, via a copula-theoretic argument, that the adjustment is a consistent screening statistic with a zero condition, an explicit full-support ceiling bounding its use as a magnitude estimator, and a documented failure mode for purely interaction-mediated dependencies. We benchmark the adjusted ersatz against three zero-extra-cost comparators -- polynomial chaos expansion (PCE), PCE-derived Shapley effects, and a PAWN-type maximum Kolmogorov--Smirnov index -- across seven benchmark functions and a real-world hydrological model. The adjusted ersatz is the only estimator achieving perfect rank agreement on a non-smooth hydrological output where PCE is misspecified. A joint sensitivity analysis of five algorithmic parameters shows grid resolution, not the imputation threshold or sampling method, drives performance variability.

Cite

@article{arxiv.2607.28252,
  title  = {Improving Discrepancy Measures for Global Sensitivity Analysis},
  author = {Samuele Lo Piano and Alessio Lachi and Razi Sheikholeslami and Arnald Puy and Pamphile Tupui Roy and Andrea Saltelli},
  journal= {arXiv preprint arXiv:2607.28252},
  year   = {2026}
}

Comments

25 pages, 9 figures, 11 tables, two supplementary files