Gradient estimation for applied Monte Carlo analyses

Reliability Engineering and System Safety

Volumn 78, Issue 3, 2002, Pages 283-288

  Melchers, Robert E ^a   Ahammed, Mukshed ^a  

^a UNIVERSITY OF NEWCASTLE   (Australia)

Author keywords

Approximations; Gradients; Monte Carlo; Performance function; Sensitivities; Simulation

Indexed keywords

COMPUTATIONAL METHODS; COMPUTER SIMULATION; ESTIMATION; MONTE CARLO METHODS; SENSITIVITY ANALYSIS;

GRADIENT ESTIMATION;

SYSTEMS SCIENCE;

EID: 0036891613     PISSN: 09518320     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0951-8320(02)00172-2     Document Type: Article

References (6)

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2. Melchers R.E. Structural reliability analysis and prediction. 1999;Wiley, Chichester, NY.
3. Rubinstein R.Y. Simulation and the Monte Carlo method. 1981;Wiley, New York.
4. Glasserman P. Gradient estimation via perturbation analysis. 1991;Kluwer, Dordrecht.
5. Myer R.H. Response surface methodology. 1977;Allyn and Bacon, Boston.
6. Crandall S.H. Engineering analysis. 1956;McGraw-Hill, New York.