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Comparison of a simple approximation for multinormal integration with an importance sampling-based simulation method

Authors
Journal
Probabilistic Engineering Mechanics
0266-8920
Publisher
Elsevier
Publication Date
Volume
17
Issue
2
Identifiers
DOI: 10.1016/s0266-8920(02)00003-6
Keywords
  • Multinormal Integration
  • Probability
  • System Reliability
  • Simulation

Abstract

Abstract 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.

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