Review paper
Gradient and parameter sensitivity estimation for systems evaluated using Monte Carlo analysis
Volume: 91, Issue: 5, Pages: 594 - 601
Published: May 1, 2006
Abstract
The performance evaluation of many practical systems can be handled only through computationally intensive Monte Carlo simulation. Although a number of specialist techniques have been proposed, in general, estimation of the sensitivity of the outcome to changes in parameters involves duplicate simulations and finite differences for each parameter of interest. An approximate technique for gradient sensitivity estimation was outlined previously....
Paper Details
Title
Gradient and parameter sensitivity estimation for systems evaluated using Monte Carlo analysis
Published Date
May 1, 2006
Volume
91
Issue
5
Pages
594 - 601
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