Sensitivity Analysis Using the Monte Carlo Acceptance-Rejection Method

DOI10.1137/0911066MaRDI QIDQ3486708zbMATH OpenOpenAlexFDO

Authors George S. Fishman

Publication date 1990

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0911066

zbMATH Keywords

acceptance-rejection techniqueconfidence intervalsestimatorsimportance functionMonte Carlo sampling planreliability analysissensitivity analysissystem performance measuresvariancesworst-case bounds

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Reliability and life testing (62N05)

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(9)

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• Calculating derivatives in statistical tolerance analysis.
• Estimates and confidence intervals for importance sampling sensitivity analysis
• An exact method for the sensitivity analysis of systems simulated by rejection techniques
• Sensitivity Analysis for the System Reliability Function
• On the inverse problem in Monte Carlo experiments
• Variance reduction MCMs with application in environmental studies: sensitivity analysis
• Denoising Monte Carlo sensitivity estimates
• Sensitivity Ranks by Monte Carlo

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