Citation

Derennes P, Morio J, Simatos F. Reliab. Eng. Syst. Safety 2019; 187: 3-16.

Copyright

(Copyright © 2019, Elsevier Publishing)

DOI

10.1016/j.ress.2018.02.009

PMID

unavailable

Abstract

Moment independent importance measures have been proposed by Borgonovo [1] in order to alleviate some of the drawbacks of variance-based sensibility indices. They have gained increasing attention over the last years but their estimation remains a challenging issue. An effective estimation scheme in the case of correlated inputs, referred to as single-loop method, has been proposed by Wei et al. [2]. In this paper we show via simulation that this method may be inaccurate, making for instance 40% error in the simplest possible Gaussian case. We then propose a new estimation scheme which greatly improves the accuracy of the single-loop method, up to a factor 10 in some simple numerical examples. We prove that our estimator is strongly consistent and several simulation results are presented to demonstrate the advantages of the proposed method.

Language: en

Keywords

Density-based sensitivity analysis; Importance measures; Importance sampling; Monte Carlo simulation