Linearization of local probabilistic sensitivity via sample re-weighting

Local probabilistic sensitivity of input variable X with respect to output variable Z is proportional to the derivative of the conditional expectation E( X| z). This paper reports on experience in computing this conditional expectation. Linearized estimates are found to give acceptable performance,...

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Bibliographic Details
Published in:Reliability engineering & system safety 2003-02, Vol.79 (2), p.131-137
Main Authors: Cooke, R.M., Kurowicka, D., Meilijson, I.
Format: Article
Language:English
Subjects:
Linearization
Local probabilistic sensitivity measures
Re-weighting
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Summary:Local probabilistic sensitivity of input variable X with respect to output variable Z is proportional to the derivative of the conditional expectation E( X| z). This paper reports on experience in computing this conditional expectation. Linearized estimates are found to give acceptable performance, but are not generally applicable. A new method of linearization based on re-weighting a Monte Carlo sample is introduced. Results are comparable to the linearized estimates, but this method is more widely applicable. Results generally improve by conditioning on a small window around z.
ISSN:0951-8320
1879-0836
DOI:10.1016/S0951-8320(02)00223-5