Abstract. In this paper, we suggest principles of a novel simulation method for analyses of functions g (X) of a random vector X, suitable for the cases when the evaluation of g (X) is very expensive. The method is based on Latin Hypercube Sampling strategy. The paper explains how the statistical, sensitivity and reliability analysis of g (X) can be divided into a hierarchical sequence of simul...

We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options. Asian options are derivative contracts in which the underlying variable is the average price of given assets sampled over a period of time. Due to this structure, Asian options display a lower volatility and are therefore cheaper...

In this paper, a novel two-stage Improved Radial Basis Function (IRBF) neural network technique is proposed to predict the joint damage of a fifty member frame structure with semi-rigid connections in both frequency and time domain. The effective input patterns as normalized design signature indices (NDSIs) in frequency domain and acceleration responses in time domain are simulated numerically ...

Toxicity potentials are standard values used in life cycle assessment (LCA) to enable a comparison of toxic impacts between substances. This paper presents the results of an uncertainty assessment of toxicity potentials that were calculated with the global nested multi-media fate, exposure and effects model USES-LCA. The variance in toxicity potentials resulting from input parameter uncertainti...

The objective of Latin Hypercube Sampling is to determine an effective procedure for sampling from a (possibly correlated) multivariate population to estimate the distribution function (or at least a significant number of moments) of a complicated function of its variables. The typical application involves a computer-based model in which it is largely impossible to find a way (closed form or nu...

The intention of this paper is to evaluate the sensitivity of the Storm Water Management Model (SWMM) output to its input parameters. A global parameter sensitivity analysis is conducted in order to determine which parameters mostly affect the model simulation results. Two different methods of sensitivity analysis are applied in this study. The first one is the partial rank correlation coeffici...

Abstract. The aim of the present paper is to analyse the influence of some input quantities on the fatigue resistance of a steel structure. The steel element subjected to many times repeated in-plane bending moment was analysed. The fatigue resistance was defined as the number of cycles causing the initial crack size propagation up to the critical size. The variability influence of input random...