AuthorsJ. Feinberg and S. Clark
EditorsJ. Boland and J. Piantadosi
TitleRoseDist: Generalized Tool for Simulating With Non-Standard Probability Distributions
Afilliation, Scientific Computing
Project(s)Center for Biomedical Computing (SFF)
StatusPublished
Publication TypeProceedings, refereed
Year of Publication2013
Conference NameMODSIM2013, 20th International Congress on Modelling and Simulation
Date PublishedDecember
PublisherModelling and Simulation Society of Australia and New Zealand Inc.
ISBN Number978-0-9872143-3-1
KeywordsConference
Abstract

Monte Carlo simulation is the most popular technique for performing uncertainty quantification for being easy to implement and requiring very few assumption on the behavior of the model. However, in cases where model evaluations are computational costly, the technique can be become too expensive since Monte Carlo requires a high number of evaluations to get reasonable accuracy. To mitigate this cost, various variance reduction techniques have been introduced to increase the convergence rate. Unfortunately these techniques are only just making in-roads into computational modelling because of their inherent complexity and interdependence. RoseDist is a software toolbox in Python designed to make most variance reduction technique accessible, in an object-oriented sense, to numerical modellers from various disciplines.

Citation KeySimula.simula.2188