QUANTIFYING UNCERTAIN SYSTEM OUTPUTS VIA THE MULTI-LEVEL MONTE CARLO METHOD-DISTRIBUTION AND ROBUSTNESS MEASURES

On the Acceleration of the Multi-Level Monte Carlo Method

The multi-level Monte Carlo method proposed by Giles (2008) approximates the expectation of some functionals applied to a stochastic process with optimal order of convergence for the mean-square error. In this paper a modified multi-level Monte Carlo estimator is proposed with significantly reduced computational costs. As the main result, it is proved that the modified estimator reduces the com...

Economic optimization of solar systems in uncertain economic conditions using the Monte Carlo method

Solar energy is an environmentally sustainable energy source as it is clean and inexhaustible. Solar systems are very common and cost-effective, thus, can be used for many home applications. In this paper, a new method is presented to optimize solar systems economically, regarding to energy cost fluctuations. In spite of conventional analyses, in which the inflation is considered constant, ...

Security Stress: Evaluating ICT Robustness Through a Monte Carlo Method

Haruspex is a suite of tools that apply a Monte Carlo method to the risk assessment of an ICT infrastructure. These tools support a scenario-based assessment where in each scenario some intelligent agents compose elementary attacks against the infrastructure to reach some prede ned goals. To support through this suite, the comparison of alternative designs of an infrastructure, we introduce the...

Multi-level Monte Carlo finite volume method for shallow water equations with uncertain parameters applied to landslides-generated tsunamis

Two layer Savage-Hutter type shallow water PDEs model flows such as tsunamis generated by rockslides. On account of heterogeneities in the composition of the granular matter, these models contain uncertain parameters like the ratio of densities of layers, Coulomb and interlayer friction. These parameters are modeled statistically and quantifying the resulting solution uncertainty (UQ) is a cruc...

The Monte-Carlo Method