Journal
SIAM-ASA JOURNAL ON UNCERTAINTY QUANTIFICATION
Volume 5, Issue 1, Pages 986-1002Publisher
SIAM PUBLICATIONS
DOI: 10.1137/16M1097717
Keywords
Sobol' indices; variable importance; functional ANOVA
Funding
- U.S. National Science Foundation [DMS-1521145]
- Direct For Mathematical & Physical Scien
- Division Of Mathematical Sciences [1407397] Funding Source: National Science Foundation
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This paper makes the case for using Shapley value to quantify the importance of random input variables to a function. Alternatives based on the ANOVA decomposition can run into conceptual and computational problems when the input variables are dependent. Our main goal here is to show that Shapley value removes the conceptual problems. We do this with some simple examples where Shapley value leads to intuitively reasonable nearly closed form answers.
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