TY - GEN
T1 - Distributionally robust Monte Carlo simulation
T2 - 15th World Congress of the International Federation of Automatic Control, 2002
AU - Lagoa, Constantino M.
AU - Barmish, B. R.
N1 - Funding Information:
Funding for this research was provided by the National Science Foundation under Grants ECS-9811051 and ECS-9984260.
Publisher Copyright:
Copyright © 2002 IFAC.
PY - 2002
Y1 - 2002
N2 - 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.
AB - 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.
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U2 - 10.3182/20020721-6-es-1901.00360
DO - 10.3182/20020721-6-es-1901.00360
M3 - Conference contribution
AN - SCOPUS:84945567877
SN - 9783902661746
T3 - IFAC Proceedings Volumes (IFAC-PapersOnline)
SP - 151
EP - 162
BT - IFAC Proceedings Volumes (IFAC-PapersOnline)
A2 - Ferrate, Gabriel
A2 - Camacho, Eduardo F.
A2 - Basanez, Luis
A2 - de la Puente, Juan. A.
PB - IFAC Secretariat
Y2 - 21 July 2002 through 26 July 2002
ER -