Use total-order sensitivity for high-dimensional experiments#5115
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Use total-order sensitivity for high-dimensional experiments#5115saitcakmak wants to merge 1 commit into
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Summary: Switch InsightsAnalysis to use total-order Sobol sensitivity analysis instead of second-order when the experiment has more than 25 parameters. Second-order sensitivity computes pairwise interaction effects at O(p^2) cost, which becomes expensive for high-dimensional search spaces. Total-order captures each parameter's overall importance including all interactions at O(p) cost. For a 93-parameter GAIN experiment (GAIN_35259), total-order sensitivity is 2.7x faster than second-order (16s vs 43s per metric, with a pre-fitted adapter). The threshold of 25 parameters preserves second-order analysis (and contour plots showing pairwise interactions) for lower-dimensional experiments where the O(p^2) cost is manageable. Reviewed By: mpolson64 Differential Revision: D98506213
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This pull request has been merged in f5976b8. |
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Summary:
Switch InsightsAnalysis to use total-order Sobol sensitivity analysis
instead of second-order when the experiment has more than 25 parameters.
Second-order sensitivity computes pairwise interaction effects at O(p^2) cost,
which becomes expensive for high-dimensional search spaces. Total-order captures
each parameter's overall importance including all interactions at O(p) cost.
For a 93-parameter GAIN experiment (GAIN_35259), total-order sensitivity is
2.7x faster than second-order (16s vs 43s per metric, with a pre-fitted adapter).
The threshold of 25 parameters preserves second-order analysis (and contour
plots showing pairwise interactions) for lower-dimensional experiments where
the O(p^2) cost is manageable.
Reviewed By: mpolson64
Differential Revision: D98506213