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An Algorithm for Calculation of Probability Distributions of Output Variables in Process Simulation

공정 시뮬레이션 출력 변수의 확률분포 계산 알고리즘

  • Published : 2002.10.01

Abstract

Stochastic process analysis is often based on Monte Carlo simulations. As a more rigorous alternative, a deterministic algorithm based on numerical integration is proposed in this paper. which calculates the probability distributions of dependent random variables using the results of simulation with grid points of independent random variables. For performance evaluation, the proposed algorithm is applied to an example problem which can be analytically solved. and the result is compared with that of Monte Carlo simulation. The proposed algorithm is suitable for general process simulation problems with a few independent random variables, and expected to be applicable to areas such as safety analysis and quality control.

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References

  1. N. Balakishnan, V. B. Melas, and S. Ermakov, editors, Advances in Stochastic Simultion Methods, Birkhuser, Boston, 2000
  2. W. H. Press, S. A. Teukolsky, W. T. Vetterling, and B. P. Flannery, Numerical Recipes in C++: The Art of Scientific Computing, 2nd ed., Cambridge University Press, Cambridge, 2002
  3. Numerical Recipes in C++: The Art of Scientific Computing(2nd ed.) W. H. Press;S. A. Teukolsky;W. T. Vetterling;B. P. Flannery