Effect of the Number of Random Variables on Precision of Probability of Failure Estimation Using the Monte Carlo Simulation Method
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Petr Konecny
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| Transactions of the VSB - Technical University of Ostrava, Civil Engineering Series |
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2010, Volume 10, Issue 2, Pages 56-65
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Doi: 10.2478/v10160-010-0021-4
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The paper deals with the relationship between the target probability, number of applied random variables and the number of Monte Carlo simulation steps needed to obtain satisfactory results. The precision of probability of failure estimation using crude Monte Carlo simulation is independent of the number of random variables in a studied case. Results obtained by Monte Carlo simulation are compared with Direct Optimized Probabilistic Calculation (DOProC) that allows for fast computing solutions in the case of well-mapped tasks.
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