Reliable simulation with input uncertainties using an interval-based approach

Abstract

Uncertainty associated with input parameters and models in simulation has gained attentions in recent years. The sources of uncertainties include lack of data and lack of knowledge about physical systems. In this paper, we pre-sent a new reliable simulation mechanism to help improve simulation robustness when significant uncertainties exist. The new mechanism incorporates variabilities and uncer-tainties based on imprecise probabilities, where the statis-tical distribution parameters in the simulation are intervals instead of precise real numbers. The mechanism generates random interval variates to model the inputs. Interval arithmetic is applied to simulate a set of scenarios simul-taneously in each simulation run. To ensure that the inter-val results bound those from the traditional real-valued simulation, a generic approach is also proposed to specify the number of replications in order to achieve the desired robustness. This new reliable simulation mechanism can be applied to address input uncertainties to support robust decision making. 1

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