Work

Estimation of Moment Independent Importance Measures Using a Copula and Maximum Entropy Framework

Year: 2018

Type: conference-paper

Abstract: The moment-independent sensitivity analysis technique introduced by E. Borgonovo has gained increasing attention to characterize the uncertainty of complex systems and optimize their reliability. The estimation of corresponding indices is a challenging task. This paper aims at presenting a new estimation scheme valid for dependent model inputs. This scheme is build on the copula representation of indices and uses maximum entropy methods to estimate this copula. Accuracy of the proposed method is evaluated through numerical simulations and is compared to two competitive methods, namely an importance sampling based approach and a second one which uses the Nataf transformation.

Source: Winter Simulation Conference

DOI: 10.1109/wsc.2018.8632396

Authors: Pierre Derennes, Jerome Morio, Florian Simatos

Institutions: Office National d'Études et de Recherches Aérospatiales, Université de Toulouse, Département Traitement de l’Information et Systèmes, Institut de Mathématiques de Toulouse, Institut Supérieur de l'Aéronautique et de l'Espace (ISAE-SUPAERO)

Language: English

Topic: Probabilistic and Robust Engineering Design

Subfield: Statistics, Probability and Uncertainty

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2913104053

FWCI: 5.223

Cites: 14

Cited by: 7

Related to: 10