Distributionally robust Monte Carlo simulation: A tutorial survey

Constantino M. Lagoa, B. R. Barmish

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    13 Scopus citations

    Abstract

    Whereas the use of traditional Monte Carlo simulation requires probability distributions for the uncertain parameters entering the system, distributionally robust Monte Carlo simulation does not. According to this new theory, instead of carrying out simulations using some rather arbitrary probability distribution such as Gaussian for the uncertain parameters, we provide a rather different prescription based on distributional robustness considerations. Motivated by manufacturing considerations, a class of distributions F is specified and the results of the simulation hold for all f ∈ F. This new method of Monte Carlo simulation was developed with the robustician in mind in that we begin only with bounds on the uncertain parameters and no a priori probability distribution is assumed.

    Original languageEnglish (US)
    Title of host publicationIFAC Proceedings Volumes (IFAC-PapersOnline)
    EditorsGabriel Ferrate, Eduardo F. Camacho, Luis Basanez, Juan. A. de la Puente
    PublisherIFAC Secretariat
    Pages151-162
    Number of pages12
    Edition1
    ISBN (Print)9783902661746
    DOIs
    StatePublished - 2002
    Event15th World Congress of the International Federation of Automatic Control, 2002 - Barcelona, Spain
    Duration: Jul 21 2002Jul 26 2002

    Publication series

    NameIFAC Proceedings Volumes (IFAC-PapersOnline)
    Number1
    Volume15
    ISSN (Print)1474-6670

    Other

    Other15th World Congress of the International Federation of Automatic Control, 2002
    CountrySpain
    CityBarcelona
    Period7/21/027/26/02

    All Science Journal Classification (ASJC) codes

    • Control and Systems Engineering

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