Monte Carlo simulation of scenario probability distributions
Suppose a scenario of interest can be represented as a series of events. A final result R may be viewed then as the intersection of three events, A, B, and C. The probability of the result P(R) in this case is the product P(R) = P(A) P(B {vert_bar} A) P(C {vert_bar} A {intersection} B). An expert may be reluctant to estimate P(R) as a whole yet agree to supply his notions of the component probabilities in the form of prior distributions. Each component prior distribution may be viewed as the stochastic characterization of the expert`s uncertainty regarding the true value of the component probability. Mathematically, the component probabilities are treated as independent random variables and P(R) as their product; the induced prior distribution for P(R) is determined which characterizes the expert`s uncertainty regarding P(R). It may be both convenient and adequate to approximate the desired distribution by Monte Carlo simulation. Software has been written for this task that allows a variety of component priors that experts with good engineering judgment might feel comfortable with. The priors are mostly based on so-called likelihood classes. The software permits an expert to choose for a given component event probability one of six types of prior distributions, and the expert specifies the parameter value(s) for that prior. Each prior is unimodal. The expert essentially decides where the mode is, how the probability is distributed in the vicinity of the mode, and how rapidly it attenuates away. Limiting and degenerate applications allow the expert to be vague or precise.
- Research Organization:
- Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
- Sponsoring Organization:
- USDOE, Washington, DC (United States)
- DOE Contract Number:
- W-7405-ENG-48
- OSTI ID:
- 632934
- Report Number(s):
- UCRL-ID-125798; ON: DE98050727
- Resource Relation:
- Other Information: PBD: 23 Oct 1996
- Country of Publication:
- United States
- Language:
- English
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