Sensitivity Analysis For Stochastic Simulators Using Differential Entropy

This paper is dedicated to the sensitivity analysis of stochastic simulators. Stochastic simulators inherently contain some sources of randomness; in this case the output of the simulator in a given point is a random variable. In this paper, the stochastic simulator is represented as a stochastic process and the sensitivity analysis is performed on the differential entropy of the stochastic process. The method's performance is illustrated on a toy example, then on an electromagnetic dosimetry example.