Maximal coupling and rare perturbation sensitivity analysis
Authors:
P. Brémaud
Affiliation:
(1) Laboratoire des Signaux et Systèmes, CNRS-ESE, Plateau de Moulon, 91192 Gif-sur-Yvette, France
Abstract:
In this article, we introduce a new method for obtaining the ersatz sample derivatives useful in sensitivity analysis: the maximal coupling RPA method.