Comparison of a simple approximation for multinormal integration with an importance sampling-based simulation method
An m-dimensional multinormal integral can be approximated as a product of m univariate normal integrals that are easy to compute. The paper compares the accuracy of this simple approximation against the benchmark results obtained from an efficient simulation method that utilizes the importance of sampling principle. Examples considered in the paper illustrate that the accuracy of proposed approximation is comparable to that of the simulation method.
|Keywords||Multinormal integration, Probability, Simulation, System reliability|
|Journal||Probabilistic Engineering Mechanics|
Pandey, M.D. (M. D.), & Sarkar, A. (2002). Comparison of a simple approximation for multinormal integration with an importance sampling-based simulation method. Probabilistic Engineering Mechanics, 17(2), 215–218. doi:10.1016/S0266-8920(02)00003-6