Use the ANCOVA indices

In this example we are going to use the ANCOVA decomposition to estimate sensitivity indices from a model with correlated inputs.

ANCOVA allows one to estimate the Sobol’ indices, and thanks to a functional decomposition of the model it allows one to separate the part of variance explained by a variable itself from the part of variance explained by a correlation which is due to its correlation with the other input parameters.

In theory, ANCOVA indices range is \left[0; 1\right] ; the closer to 1 the index is, the greater the model response sensitivity to the variable is. These indices are a sum of a physical part S_i^U and correlated part S_i^C. The correlation has a weak influence on the contribution of X_i, if |S_i^C| is low and S_i is close to S_i^U. On the contrary, the correlation has a strong influence on the contribution of the input X_i, if |S_i^C| is high and S_i is close to S_i^C.

The ANCOVA indices S_i evaluate the importance of one variable at a time (d indices stored, with d the input dimension of the model). The d uncorrelated parts of variance of the output due to each input S_i^U and the effects of the correlation are represented by the indices resulting from the subtraction of these two previous lists.

To evaluate the indices, the library needs of a functional chaos result approximating the model response with uncorrelated inputs and a sample with correlated inputs used to compute the real values of the output.

import openturns as ot
import openturns.viewer as viewer
from matplotlib import pylab as plt
ot.Log.Show(ot.Log.NONE)

Create the model (x1,x2) –> (y) = (4.*x1+5.*x2)

model = ot.SymbolicFunction(['x1', 'x2'], ['4.*x1+5.*x2'])

Create the input independent joint distribution

distribution = ot.Normal(2)
distribution.setDescription(['X1', 'X2'])

Create the correlated input distribution

S = ot.CorrelationMatrix(2)
S[1, 0] = 0.3
R = ot.NormalCopula.GetCorrelationFromSpearmanCorrelation(S)
copula = ot.NormalCopula(R)
distribution_corr = ot.ComposedDistribution([ot.Normal()] * 2, copula)

ANCOVA needs a functional decomposition of the model

enumerateFunction = ot.LinearEnumerateFunction(2)
productBasis = ot.OrthogonalProductPolynomialFactory(
    [ot.HermiteFactory()]*2, enumerateFunction)
adaptiveStrategy = ot.FixedStrategy(
    productBasis, enumerateFunction.getStrataCumulatedCardinal(4))
samplingSize = 250
projectionStrategy = ot.LeastSquaresStrategy(
    ot.MonteCarloExperiment(samplingSize))
algo = ot.FunctionalChaosAlgorithm(
    model, distribution, adaptiveStrategy, projectionStrategy)
algo.run()
result = ot.FunctionalChaosResult(algo.getResult())

Create the input sample taking account the correlation

size = 2000
sample = distribution_corr.getSample(size)

Perform the decomposition

ancova = ot.ANCOVA(result, sample)
# Compute the ANCOVA indices (first order and uncorrelated indices are computed together)
indices = ancova.getIndices()
# Retrieve uncorrelated indices
uncorrelatedIndices = ancova.getUncorrelatedIndices()
# Retrieve correlated indices:
correlatedIndices = indices - uncorrelatedIndices

Print Sobol’ indices, the physical part, and the correlation part

print("ANCOVA indices ", indices)
print("ANCOVA uncorrelated indices ", uncorrelatedIndices)
print("ANCOVA correlated indices ", correlatedIndices)

Out:

ANCOVA indices  [0.401579,0.598421]
ANCOVA uncorrelated indices  [0.28015,0.476992]
ANCOVA correlated indices  [0.121429,0.121429]
graph = ot.SobolIndicesAlgorithm.DrawImportanceFactors(
    indices, distribution.getDescription(), 'ANCOVA indices (Sobol\')')
view = viewer.View(graph)
ANCOVA indices (Sobol')
graph = ot.SobolIndicesAlgorithm.DrawImportanceFactors(uncorrelatedIndices, distribution.getDescription(
), 'ANCOVA uncorrelated indices\n(part of physical variance in the model)')
view = viewer.View(graph)
ANCOVA uncorrelated indices (part of physical variance in the model)
graph = ot.SobolIndicesAlgorithm.DrawImportanceFactors(correlatedIndices, distribution.getDescription(
), 'ANCOVA correlated indices\n(part of variance due to the correlation)')
view = viewer.View(graph)
plt.show()
ANCOVA correlated indices (part of variance due to the correlation)

Total running time of the script: ( 0 minutes 0.118 seconds)

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