Imprecise random variables, random sets, and Monte Carlo simulation

DOI10.1016/J.IJAR.2016.06.012MaRDI QIDQ324695zbMATH OpenOpenAlexFDO

Authors Thomas Fetz, Michael Oberguggenberger

Publication date 17 October 2016

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2016.06.012

zbMATH Keywords

imprecise random variablesMonte Carlo simulationpropagation of uncertainty through a functionrandom setsupper and lower probabilities

Mathematics Subject Classification ID

Fuzzy probability (60A86) Foundations of probability theory (60A99) Monte Carlo methods (65C05)

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Cites work

• A Monte Carlo-based method for the estimation of lower and upper probabilities of events using infinite random sets of indexable type
• Adaptive sparse polynomial chaos expansion based on least angle regression
• Bounding uncertainty in civil engineering: theoretical background and applications
• Computing expectations with continuous \(p\)-boxes: univariate case
• Convex analysis and measurable multifunctions
• scientific article; zbMATH DE number 5070674 (Why is no real title available?)
• scientific article; zbMATH DE number 3284883 (Why is no real title available?)
• Introduction to imprecise probabilities
• Modelling uncertainties in limit state functions
• Monte Carlo Estimation under Different Distributions Using the Same Simulation
• On random sets and belief functions
• On solutions of stochastic differential equations with parameters modeled by random sets
• Random intervals as a model for imprecise information
• Random sets as imprecise random variables
• Set-valued assessments of solutions to stochastic differential equations with random set parameters
• Spectral Methods for Uncertainty Quantification
• Theory of Random Sets

Cited in

(10)

• A Monte Carlo-based method for the estimation of lower and upper probabilities of events using infinite random sets of indexable type
• On the use of random set theory to bracket the results of Monte Carlo simulations
• Upper and lower probabilistic preferences in the graph model for conflict resolution
• Imprecise Monte Carlo simulation and iterative importance sampling for the estimation of lower previsions
• Imprecise distribution function associated to a random set
• On the quantification and efficient propagation of imprecise probabilities with copula dependence
• The effect of prior probabilities on quantification and propagation of imprecise probabilities resulting from small datasets
• Verified propagation of imprecise probabilities in non-linear ODEs
• Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
• An efficient algorithm for estimating profust failure probability function under the assumption of probable input and fuzzy state

Describes a project that uses

Uses Software

• AK-MCS

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