Sensitivity and Monte Carlo analysis techniques and their use in uncertainty, variability, and population analysis

Author(s):  
Tammie R. Covington ◽  
Jeffery M. Gearhart
Author(s):  
K. Suresh

Abstract The predominant engineering analysis techniques are the finite element, finite difference and boundary element methods. These techniques are global in that they attempt to solve field problems over an entire domain. Global techniques are, however, an ‘over-kill’ in the early stages of engineering design, when design parameters are fuzzy, and the functional viability of options can be determined through quick check-point analysis. In this paper, we revisit two ‘discarded’ Monte Carlo (MC) analysis techniques: MC boundary sampling, and MC domain sampling, which can be employed for solving field problems at discrete points. These techniques can be (potentially) more effective than global techniques, especially in the early stages of engineering design, but are ignored in practice because they are computationally expensive if implemented conventionally. In this paper, we argue that an appropriate geometric representation (of the underlying domain) — specifically, ray-representations for boundary sampling, and Voronoi graphs for domain sampling — is critical for efficient implementation of each technique. Exemplary numerical results are also presented.


1998 ◽  
Vol 37 (03) ◽  
pp. 235-238 ◽  
Author(s):  
M. El-Taha ◽  
D. E. Clark

AbstractA Logistic-Normal random variable (Y) is obtained from a Normal random variable (X) by the relation Y = (ex)/(1 + ex). In Monte-Carlo analysis of decision trees, Logistic-Normal random variates may be used to model the branching probabilities. In some cases, the probabilities to be modeled may not be independent, and a method for generating correlated Logistic-Normal random variates would be useful. A technique for generating correlated Normal random variates has been previously described. Using Taylor Series approximations and the algebraic definitions of variance and covariance, we describe methods for estimating the means, variances, and covariances of Normal random variates which, after translation using the above formula, will result in Logistic-Normal random variates having approximately the desired means, variances, and covariances. Multiple simulations of the method using the Mathematica computer algebra system show satisfactory agreement with the theoretical results.


1996 ◽  
Author(s):  
Iain D. Boyd ◽  
Xiaoming Liu ◽  
Jitendra Balakrishnan

2021 ◽  
Vol 234 ◽  
pp. 113889
Author(s):  
Pietro Elia Campana ◽  
Luca Cioccolanti ◽  
Baptiste François ◽  
Jakub Jurasz ◽  
Yang Zhang ◽  
...  

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