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Estimation of moment independent importance measures using a copula and maximum entropy framework

Derennes, Pierre and Morio, Jérôme and Simatos, Florian Estimation of moment independent importance measures using a copula and maximum entropy framework. (2018) In: Winter simulation conference (WSC 2018), 9 December 2018 - 12 December 2018 (Gothenburg, Sweden).

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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.

Item Type:Conference or Workshop Item (Paper)
Audience (conference):International conference proceedings
Uncontrolled Keywords:
Institution:French research institutions > Centre National de la Recherche Scientifique - CNRS (FRANCE)
Université de Toulouse > Institut National des Sciences Appliquées de Toulouse - INSA (FRANCE)
Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
French research institutions > Office National d'Etudes et Recherches Aérospatiales - ONERA (FRANCE)
Université de Toulouse > Université Toulouse III - Paul Sabatier - UPS (FRANCE)
Université de Toulouse > Université Toulouse - Jean Jaurès - UT2J (FRANCE)
Université de Toulouse > Université Toulouse 1 Capitole - UT1 (FRANCE)
Laboratory name:
Statistics:download
Deposited By: Florian Simatos
Deposited On:12 Oct 2018 12:11

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