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A nonparametric importance sampling estimator for moment independent importance measures

Derennes, Pierre and Morio, Jérôme and Simatos, Florian A nonparametric importance sampling estimator for moment independent importance measures. (2019) Reliability Engineering & System Safety, 187. 3-16. ISSN 0951-8320

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Official URL: https://doi.org/10.1016/j.ress.2018.02.009


Moment independent importance measures have been proposed by E. Borgonovo 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. 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.

Item Type:Article
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution: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 - UT3 (FRANCE)
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Deposited On:28 Nov 2017 08:46

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