Numerical probabilistic analysis under aleatory and epistemic uncertainty

Тип публикации: статья из журнала

Год издания: 2014

Ключевые слова: Epistemic uncertainty, Numerical probabilistic analysis, Risk assessment, Second order histogram, Algebra, Earnings, Graphic methods, Nonlinear equations, Probability density function, Risk assessment, Uncertainty analysis, Aleatory and epistemic uncertainties, Epistemic uncertainties, Internal rate of return, Nonlinear algebraic equations, Probabilistic analysis, Probabilistic extension, Second orders, Stochastic parameters, Statistical methods

Аннотация: This paper discusses Numerical Probabilistic Analysis (NPA) for problems under aleatory and epistemic uncertainty. The basis of NPA are numerical operations on probability density functions of the ran-dom values and probabilistic extensions. The numerical operations of the histogram arithmetic constitute the major component of NPA. The concepts of natural, probabilistic and histogram extensions of a function are considered. Using NPA approach, we construct numer-ical methods that enable us to solve systems of linear and nonlinear algebraic equations with stochastic parameters. To facilitate a more detailed description of the epistemic uncertainty, we introduce the concept of second order histograms. Relying on specic practical ex-amples, we show that using second order histograms may prove helpful in decision making. In particular, we consider risk assessment of in-vestment projects, where histograms of factors such as Net Present Value (NPV) and Internal Rate of Return (IRR) are computed.

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Издание

Журнал: Reliable Computing

Выпуск журнала: Vol. 19, Is. 3

Номера страниц: 274-289

ISSN журнала: 13853139

Авторы

  • Dobronets B.S. (Institute of Space and Information Technologies, Siberian Federal University, Krasnoyarsk, Russian Federation)
  • Popova O.A. (Institute of Space and Information Technologies, Siberian Federal University, Krasnoyarsk, Russian Federation)

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