Linearization of local probabilistic sensitivity via sample re-weighting

R. M. Cooke*, D. Kurowicka, I. Meilijson

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)131-137
Number of pages7
JournalReliability Engineering and System Safety
Volume79
Issue number2
DOIs
StatePublished - Feb 2003

Keywords

  • Linearization
  • Local probabilistic sensitivity measures
  • Re-weighting

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