2010 · 11 citations · 18 references
BusinessDecision SciencesSystems EngineeringStochastic ModelingUncertainty QuantificationUncertainty VisualizationMonte Carlo MethodsMonte Carlo SimulationOptimization Under UncertaintyProbabilistic ModelingSimulation MethodsUncertainty AnalysisDesign Requirements DefinitionDesign Under UncertaintyExplorationMonte Carlo AnalysisMonte Carlo Propagation Of UncertaintyMonte Carlo Simulation ModelingMonte Carlo Uncertainty PropagationSimulation Uncertainty
This paper examines uncertainty in design and traditional methods of accounting for it, while developing a methodological comparison of Monte Carlo Simulation (MCS) and Epoch-Era Analysis (EEA). Particular focus is placed on the way by which MCS and EEA handle uncertainty from both endogenous sources (i.e., those arising from modeling design and performance), and from exogenous sources such as requirements definition and the particularities of an uncertain future. The applicability of each approach is examined, along with the inherent assumptions, the information required for implementation, and the relative strengths and weaknesses. The contexts under which one method offers particular advantages in terms of quantifying, propagating, or visualizing uncertainty over the other are highlighted. Furthermore, we examine the potential for hybrid methods that combine the strengths of both MCS and EEA. Examples applications particularly suited to MCS, EEA, and a hybrid MCS/EEA method are presented.
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N. Metropolis, Stanislaw M. Ulam · Journal of the American Statistical Association · 1949 · 6.1K citations
Monte Carlo Statistical Methods
Hoon Kim, Christian P. Robert, George Casella · Technometrics · 2000 · 5.6K citations
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E. N., John von Neumann, Oskar Morgenstern · The Journal of Philosophy · 1945 · 4.1K citations
N. Metropolis, Stanislaw M. Ulam · Journal of the American Statistical Association · 1949 · 768 citations