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Sampling derivatives of probabilities

Zufallserzeugung von Ableitungen von Wahrscheinlichkeitsmaßen

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Abstract

A new method for the sensitivity analysis of stochastic phenomena is presented: the weak derivative of a probability measure is sampled with the help of a pair of random variables, representing the positive and negative part of this derivative, respectively. Some methods for the computer generation of the derivative are discussed. These methods are tailored to the way the original, non-derived random variables, are generated.

Zusammenfassung

Eine neue Methode, zur Sensitivitätsanalyse stochastischer Phänomene wird vorgestellt: Die schwache Ableitung eines Wahrscheinlichkeitsmaßes wird mit Hilfe eines Paares von Zufallsvariablen dargestellt. Einige Methoden zur Zufallserzeugung dieser schwachen Ableitung werden diskutiert. Diese Zufallserzeugung ist auf die Methode zugeschnitten, mit welcher die ursprünglichen, nicht abgeleiteten Zufallsvariablen generiert wurden.

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Authors and Affiliations

  1. Institut für Statistik und Informatik der Universität Wien, Universitätsstrasse 5, A-1010, Wien, Austria

    G. Ch. Pflug

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  1. G. Ch. Pflug
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Pflug, G.C. Sampling derivatives of probabilities. Computing 42, 315–328 (1989). https://doi.org/10.1007/BF02243227

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  • DOI: https://doi.org/10.1007/BF02243227

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