Advantages of variance reduction techniques in establishing confidence intervals for quantiles

Dave Grabaskas, Marvin K. Nakayama, Richard Denning and Tunc Aldemir

Reliability Engineering and System Safety, 2016, vol. 149, issue C, 187-203

Abstract: Over the past two decades, U.S. nuclear power plant regulation has increasingly depended on best-estimate plus uncertainty safety analyses. As a result of the shift to best-estimate analyses, the distribution of the output metric must be compared against a regulatory goal, rather than a single, conservative value. This comparison has historically been conducted using a 95% one-sided confidence interval for the 0.95-quantile of the output distribution, which is usually found following the technique of simple random sampling using order statistics (SRS-OS). While SRS-OS has certain statistical advantages, there are drawbacks related to the available sampling schemes and the accuracy and precision of the resulting value. Recent work has shown that it is possible to establish asymptotically valid confidence intervals for a quantile of the output of a model simulated using variance reduction techniques (VRTs). These VRTs can provide more informative results than SRS-OS. This work compares SRS-OS and the VRTs of antithetic variates and Latin hypercube sampling through several experiments, designed to replicate conditions found in nuclear safety analyses. This work is designed as an initial investigation into the use of VRTs as a tool to satisfy nuclear regulatory requirements, with hope of expanded analyses of VRTs in the future.

Keywords: Confidence intervals; Quantiles; Nuclear regulation; Best-estimate; Uncertainty (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:149:y:2016:i:c:p:187-203

DOI: 10.1016/j.ress.2015.12.015

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