Bayesian Simulation and Decision Analysis: An Expository Survey

Research into Bayesian analysis of computer simulations has appeared mostly in the simulation literature. Very little of the work has been performed by decision analysts, despite the overlap of the methods used. The hope is that this expository survey on Bayesian simulation will engender more work in the area by decision analysts. We discuss the main areas of research performed thus far, including input analysis, propagation and estimation of output uncertainty, output analysis, making decisions with simulations, selecting the best simulated system, and applications of Bayesian simulation methods. Throughout, we offer avenues of future research in Bayesian simulation that may be of interest to decision analysts. (Simulation; Bayesian statistics; Decision Analysis)