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stat.ME2022
Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
Julien Demange-Chryst, François Bachoc, Jérôme Morio
Some classical uncertainty quantification problems require the estimation of multiple expectations. Estimating all of them accurately is crucial and can have a major impact on the…
math.ST2022
Shapley effect estimation in reliability-oriented sensitivity analysis with correlated inputs by importance sampling
Julien Demange-Chryst, François Bachoc, Jérôme Morio
Reliability-oriented sensitivity analysis aims at combining both reliability and sensitivity analyses by quantifying the influence of each input variable of a numerical model on a…