Generalized bounds for active subspaces

10 Feb 2020 Parente Mario Teixeira Wallin Jonas Wohlmuth Barbara

In this article, we consider scenarios in which traditional estimates for the active subspace method based on probabilistic Poincar\'e inequalities are not valid due to unbounded Poincar\'e constants. Consequently, we propose a framework that allows to derive generalized estimates in the sense that it enables to control the trade-off between the size of the Poincar\'e constant and a weaker order of the final error bound... (read more)

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Categories


  • PROBABILITY
  • STATISTICS THEORY
  • COMPUTATION
  • STATISTICS THEORY