Bayesian methodsBayesian / computational

Robust Monte Carlo Simulation

Robust Monte Carlo simulation extends standard Monte Carlo by explicitly accounting for uncertainty in input distributions, model structure, or parameter assumptions. Rather than assuming a single fixed probability distribution for each input, the analyst considers a family of plausible distributions and evaluates how sensitive the output is to those choices, yielding conclusions that hold across a range of reasonable assumptions.

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Sources

  1. Saltelli, A., Ratto, M., Andres, T., Campolongo, F., Cariboni, J., Gatelli, D., Saisana, M. & Tarantola, S. (2008). Global Sensitivity Analysis: The Primer. Wiley. ISBN: 978-0470059975
  2. Rubinstein, R. Y. & Kroese, D. P. (2016). Simulation and the Monte Carlo Method (3rd ed.). Wiley. ISBN: 978-1118632161

Related methods

ScholarGateRobust Monte Carlo Simulation (Robust Monte Carlo Simulation). Retrieved 2026-06-04 from https://scholargate.app/en/bayesian/robust-monte-carlo-simulation