A priori error estimates for local reliability-based sensitivity analysis with Monte Carlo Simulation

Abstract In this work, we present a priori error estimates for local reliability-based sensitivity analysis. The Score Function Method and the Weak Approach using Monte Carlo Simulation are studied. The results are important for practical choice of parameters in local sensitivity analysis. Besides, the results can be employed for development of a posteriori error estimates and adaptive schemes in the future. The theoretical results are obtained for the one dimensional case, but are also useful in the multidimensional context, as confirmed through a set of numerical experiments.