Reciprocal first-order second-moment method

05/25/2021

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by   Benedikt Kriegesmann, et al.

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This paper shows a simple parameter substitution, which makes use of the reciprocal relation of typical objective functions with typical random parameters. Thereby, the accuracy of first-order probabilistic analysis improves significantly at almost no additional computational cost. The parameter substitution requires a transformation of the stochastic distribution of the substituted parameter, which is explained for different cases.