%0 Journal Article
%T Mixed two-stage derivative estimator for sensitivity analysis
%J Journal of Mathematical Modeling
%I University of Guilan
%Z 2345-394X
%A Mirabi, Kolsoom
%A Arashi, Mohammad
%D 2017
%\ 06/01/2017
%V 5
%N 1
%P 41-52
%! Mixed two-stage derivative estimator for sensitivity analysis
%K derivative estimator
%K infinitesimal perturbation analysis
%K measure-valued
%K risk analysis
%K score function
%K stochastic activity network
%R 10.22124/jmm.2017.2211
%X In mathematical modeling, determining most influential parameters on outputs is of major importance. Thus, sensitivity analysis of parameters plays an important role in model validation. We give detailed procedure of constructing a new derivative estimator for general performance measure in Gaussian systems. We will take advantage of using score function and measure-value derivative estimators in our approach. It is shown that the proposed estimator performs better than other estimators for a dense class of test functions in the sense of having smaller variance.
%U https://jmm.guilan.ac.ir/article_2211_654dd56a77eaa7c5441494a27081eb41.pdf