Sobol ’ indices and Shapley value Art

  title={Sobol ’ indices and Shapley value Art},
  author={Bruce M. Owen Stanford},
Let f be a finite variance function of d independent input variables. Sobol' indices are used to measure the importance of input variables and subsets of them. They are based on a variance decomposition. A similar problem arises in economics, when the value produced through the joint efforts of a team is to be attributed to individual members of that team. The Shapley value is widely used to solve the attribution problem. If we take the joint benefit of a set of variables to be the variance… CONTINUE READING

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