Stochastic finite element method for slope stability analysis

Kiyoshi Ishii

and Makoto Suzuki

Ohsaki Research Institute, Shimizu Construction Co., Ltd., Fukoku-

Seimei Bldg., 2-2-2, Uchisaiwai-cho, Chiyoda-ku, Tokyo, 100, Japan

Civil Engineering Development Dept., Shimizu Construction Co., Ltd.,

Mita-43-Mori Bldg., No. 13-16, Mita 3-chome, Minato-ku, Tokyo, 108,
Japan

Received 2 August 1985;

accepted 4 March 1986. ;
Available online 22 January 2003.

Abstract

This paper describes a stochastic finite element method using the

first-order approximation at a failure point of a set of random
variables. The method is extended to equivalent normal represtation
of non-normal distributions and offers two advantages: (1) It gives a
consistent measure of failure probability for the limit-states defined in
terms of different but equivalent performance function formulations,
(2). It can be applied to reliability analysis for non-normal variants.
Results using this method are compared favorably with that of Monte
Carlo simulation in a simple example. Furthermore, this method will
be applied to earth slope stability analysis to give probability levels
for local and global failures on a potential failure surface.

Author Keywords: Soil mechanics; probability theory; stability; finite

element method; failure; safety

Article Outline

• References
The stochastic finite element method in structural reliability*1

Armen Der Kiureghian and Jyh-Bin Ke

Department of Engineering, University of California, Berkeley, CA

94720, USA

Available online 21 February 2003.

Abstract

First-order reliability and finite element methods are used to develop

a methodology for reliability analysis of structures with stochastically
varying properties and subjected to random loads. Two methods for
discretization of random fields are examined and the influence of the
correlation length of random property or load fields on the reliability
of example structures are investigated. It is found that the correlation
length of load fields has significant influence on the reliability against
displacement or stress limit states. The correlation length of property
fields is significant for displacement limit states, but may not be
significant for stress limit states. Examples studied include a fixed
ended beam with stochastic rigidity and a plate with stochastic
elasticity.

Article Outline

The presence of weak materials, bedding, or discontinuities at critical locations

could lead to local or large-scale failures of natural or excavated slopes or
tunnels. Material spatial variation of Eagle Ford Shale in Texas was established
based on laboratory and field testing results. A random field model was used to
characterize the material spatial variation, and the correlation distance for the
Eagle Ford Shale strength variability was evaluated. Impacts of material
property variability and spatial variability on slope stability were analyzed using
Monte Carlo simulation with distinct element modeling using random field
elements implicitly embedded in the numerical analyses. This study provides
insight into the significance of material spatial variation on stability, possible
failure mechanisms, and critical locations of weak materials in a shale mass.

Monte Carlo method

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Monte Carlo methods (or Monte Carlo experiments) are a class

of computational algorithms that rely on repeated random sampling
to compute their results. Monte Carlo methods are often used in
simulating physical and mathematical systems. Because of their
reliance on repeated computation of random or pseudo-random
numbers, these methods are most suited to calculation by a computer
and tend to be used when it is unfeasible or impossible to compute an
exact result with a deterministic algorithm.[1]
Monte Carlo simulation methods are especially useful in studying
systems with a large number of coupled degrees of freedom, such as
fluids, disordered materials, strongly coupled solids, and cellular
structures (see cellular Potts model). More broadly, Monte Carlo
methods are useful for modeling phenomena with significant
uncertainty in inputs, such as the calculation of risk in business.
These methods are also widely used in mathematics: a classic use is
for the evaluation of definite integrals, particularly multidimensional
integrals with complicated boundary conditions. It is a widely
successful method in risk analysis when compared with alternative
methods or human intuition. When Monte Carlo simulations have
been applied in space exploration and oil exploration, actual
observations of failures, cost overruns and schedule overruns are
routinely better predicted by the simulations than by human intuition
or alternative "soft" methods.[2]

The term "Monte Carlo method" was coined in the 1940s by physicists
working on nuclear weapon projects in the Los Alamos National
Laboratory.[3]
Contents
[hide]

• 1 Overview
• 2 History
• 3 Applications
o 3.1 Physical sciences
o 3.2 Engineering
o 3.3 Applied statistics
o 3.4 Design and visuals
o 3.5 Finance and business
o 3.6 Telecommunications
o 3.7 Games
• 4 Monte Carlo simulation versus “what if” scenarios
• 5 Use in mathematics
o 5.1 Integration
 5.1.1 Integration methods
o 5.2 Optimization
 5.2.1 Optimization methods
o 5.3 Inverse problems
o 5.4 Computational mathematics
• 6 Monte Carlo and random numbers
• 7 See also
o 7.1 General
o 7.2 Application areas
o 7.3 Other methods employing Monte Carlo
• 8 Notes
• 9 References

• 10 External links
 [edit] Overview

The Monte Carlo method can be illustrated as a game of Battleship. First a

player makes some random shots. Next the player applies algorithms (i.e. a
battleship is four dots in the vertical or horizontal direction). Finally based on
the outcome of the random sampling and the algorithm the player can
determine the likely locations of the other player's ships.

There is no single Monte Carlo method; instead, the term describes a

large and widely-used class of approaches. However, these
approaches tend to follow a particular pattern:

1. Define a domain of possible inputs.

2. Generate inputs randomly from the domain using a certain specified
probability distribution.
3. Perform a deterministic computation using the inputs.
4. Aggregate the results of the individual computations into the final result.

For example, the value of π can be approximated using a Monte Carlo

method:
 1. Draw a square on the ground, then inscribe a circle within it. From plane
geometry, the ratio of the area of an inscribed circle to that of the
surrounding square is π / 4.
2. Uniformly scatter some objects of uniform size throughout the square.
For example, grains of rice or sand.
3. Since the two areas are in the ratio π / 4, the objects should fall in the
areas in approximately the same ratio. Thus, counting the number of
objects in the circle and dividing by the total number of objects in the
square will yield an approximation for π / 4.
4. Multiplying the result by 4 will then yield an approximation for π itself.

Notice how the π approximation follows the general pattern of Monte

Carlo algorithms. First, we define a domain of inputs: in this case, it's
the square which circumscribes our circle. Next, we generate inputs
randomly (scatter individual grains within the square), then perform a
computation on each input (test whether it falls within the circle). At
the end, we aggregate the results into our final result, the
approximation of π. Note, also, two other common properties of Monte
Carlo methods: the computation's reliance on good random numbers,
and its slow convergence to a better approximation as more data
points are sampled. If grains are purposefully dropped into only, for
example, the center of the circle, they will not be uniformly
distributed, and so our approximation will be poor. An approximation
will also be poor if only a few grains are randomly dropped into the
whole square. Thus, the approximation of π will become more
accurate both as the grains are dropped more uniformly and as more
are dropped.

[edit] History

Enrico Fermi in the 1930s and Stanisław Ulam in 1946 first had the
idea. Ulam later contacted John von Neumann to work on it.[4]

Physicists at Los Alamos Scientific Laboratory were investigating

radiation shielding and the distance that neutrons would likely travel
through various materials. Despite having most of the necessary data,
such as the average distance a neutron would travel in a substance
before it collided with an atomic nucleus or how much energy the
neutron was likely to give off following a collision, the problem could
not be solved with analytical calculations. John von Neumann and
Stanislaw Ulam suggested that the problem be solved by modeling
the experiment on a computer using chance. Being secret, their work
required a code name. Von Neumann chose the name "Monte Carlo".
The name is a reference to the Monte Carlo Casino in Monaco where
Ulam's uncle would borrow money to gamble.[1][5][6]

Random methods of computation and experimentation (generally

considered forms of stochastic simulation) can be arguably traced
back to the earliest pioneers of probability theory (see, e.g., Buffon's
needle, and the work on small samples by William Sealy Gosset), but
are more specifically traced to the pre-electronic computing era. The
general difference usually described about a Monte Carlo form of
simulation is that it systematically "inverts" the typical mode of
simulation, treating deterministic problems by first finding a
probabilistic analog (see Simulated annealing). Previous methods of
simulation and statistical sampling generally did the opposite: using
simulation to test a previously understood deterministic problem.
Though examples of an "inverted" approach do exist historically, they
were not considered a general method until the popularity of the
Monte Carlo method spread.

Monte Carlo methods were central to the simulations required for the
Manhattan Project, though were severely limited by the computational
tools at the time. Therefore, it was only after electronic computers
were first built (from 1945 on) that Monte Carlo methods began to be
studied in depth. In the 1950s they were used at Los Alamos for early
work relating to the development of the hydrogen bomb, and became
popularized in the fields of physics, physical chemistry, and
operations research. The Rand Corporation and the U.S. Air Force
were two of the major organizations responsible for funding and
disseminating information on Monte Carlo methods during this time,
and they began to find a wide application in many different fields.
Uses of Monte Carlo methods require large amounts of random
numbers, and it was their use that spurred the development of
pseudorandom number generators, which were far quicker to use
than the tables of random numbers which had been previously used
for statistical sampling.

[edit] Applications

As mentioned, Monte Carlo simulation methods are especially useful

for modeling phenomena with significant uncertainty in inputs and in
studying systems with a large number of coupled degrees of freedom.
Specific areas of application include:

[edit] Physical sciences

Monte Carlo methods are very important in computational physics,

physical chemistry, and related applied fields, and have diverse
applications from complicated quantum chromodynamics calculations
to designing heat shields and aerodynamic forms. The Monte Carlo
method is widely used in statistical physics, particularly Monte Carlo
molecular modeling as an alternative for computational molecular
dynamics as well as to compute statistical field theories of simple
particle and polymer models [7]; see Monte Carlo method in statistical
physics. In experimental particle physics, these methods are used for
designing detectors, understanding their behavior and comparing
experimental data to theory, or on vastly large scale of the galaxy
modelling.[8]

Monte Carlo methods are also used in the ensemble models that form
the basis of modern weather forecasting operations.

[edit] Engineering

Monte Carlo methods are widely used in engineering for sensitivity

analysis and quantitative probabilistic analysis in process design. The
need arises from the interactive, co-linear and non-linear behaviour of
typical process simulations. For example,
 • in microelectronics engineering, Monte Carlo methods are applied to
analyze correlated and uncorrelated variations in analog and digital
integrated circuits. This enables designers to estimate realistic 3 sigma
corners and effectively optimise circuit yields.
• in geostatistics and geometallurgy, Monte Carlo methods underpin the
design of mineral processing flowsheets and contribute to quantitative
risk analysis.

[edit] Applied statistics

Monte Carlo methods are generally used for two purposes in applied
statistics. One purpose is to provide a methodology to compare and
contrast competing statistics for small sample, realistic data
conditions. The Type I error and power properties of statistics are
obtainable for data drawn from classical theoretical distributions (e.g.,
normal curve, Cauchy distribution) for asymptotic conditions (i. e,
infinite sample size and infinitesimally small treatment effect), but
such results often have little bearing on statistics' properties for
realistic conditions.[9]

The second purpose for Monte Carlo methods, found frequently as an

option to asymptotic or exact tests in statistics software, is to provide
a more efficacious approach to data analysis than the time consuming
(and often impossibility to compute) permutation methodology. The
Monte Carlo option is more accurate than relying on hypothesis tests'
asymptotically derived critical values, and yet not as time consuming
to obtain as are exact tests, such as permutation tests. For example,
in SPSS version 18 with the Exact module installed, a two
independent samples Wilcoxon Rank Sum / Mann - Whitney U test can
be conducted using asymptotic critical values, a Monte Carlo option
by specifing the number of samples, or via exact methods by
specifying the time limit to be alloted to the analysis.

Monte Carlo methods are also a compromise between approximate

randomization and permutation tests. An approximate randomization
test is based on a specified subset of all permutations (which entails
potentially enormous housekeeping of which permutations have been
considered). The Monte Carlo approach is based on a specified
number of randomly drawn permutations (exchanging a minor loss in
precision if a permutation is drawn twice - or more frequently - for the
efficiency of not having to track which permutations have already
been selected).

It is important to differentiate between a simulation, Monte Carlo

study, and a Monte Carlo simulation. A simulation is a fictitious
representation of reality. A Monte Carlo study is a technique that can
be used to solve a mathematical or statistical problem. A Monte Carlo
simulation uses repeated sampling to determine the properties of
some phenomenon. Examples:

• Drawing a pseudo-random uniform variate from the interval [0,1] can be

used to simulate the tossing of a coin: If the value is less than or equal to
0.50 designate the outcome as heads, but if the value is greater than
0.50 designate the outcome as tails. This is a simulation, but not a Monte
Carlo simulation.
• The area of an irregular figure inscribed in a unit square can be
determined by throwing darts at the square and computing the ratio of
hits within the irregular figure to the total number of darts thrown. This is
a Monte Carlo method of determining area, but not a simulation.
• Drawing a large number of pseudo-random uniform variates from the
interval [0,1], and assigning values less than or equal to 0.50 as heads
and greater than 0.50 as tails, is a Monte Carlo simulation of the
behavior of repeatedly tossing a coin.

Sawilowsky listed the characteristics of a high quality Monte Carlo

simulation:

• the pseudo-random number generator has certain characteristics (e. g. a

long “period” before repeating values)
• the pseudo-random number generator produces values that pass tests
for randomness
 • the number of repetitions of the experiment is sufficiently large to ensure
accuracy of results
• the proper sampling technique is used
• the algorithm used is valid for what is being modeled
• the study simulates the phenomenon in question.[10]

[edit] Design and visuals

Monte Carlo methods have also proven efficient in solving coupled

integral differential equations of radiation fields and energy transport,
and thus these methods have been used in global illumination
computations which produce photorealistic images of virtual 3D
models, with applications in video games, architecture, design,
computer generated films, and cinematic special effects.

[edit] Finance and business

Monte Carlo methods in finance are often used to calculate the value
of companies, to evaluate investments in projects at a business unit
or corporate level, or to evaluate financial derivatives. Monte Carlo
methods used in these cases allow the construction of stochastic or
probabilistic financial models as opposed to the traditional static and
deterministic models, thereby enhancing the treatment of uncertainty
in the calculation. For use in the insurance industry, see stochastic
modelling.

[edit] Telecommunications

When planning a wireless network, design must be proved to work for

a wide variety of scenarios that depend mainly on the number of
users, their locations and the services they want to use. Monte Carlo
methods are typically used to generate these users and their states.
The network performance is then evaluated and, if results are not
satisfactory, the network design goes through an optimization
process.

[edit] Games
Monte Carlo methods have recently been applied in game playing
related artificial intelligence theory. Most notably the game of Go and
Battleship have seen remarkably successful Monte Carlo algorithm
based computer players. One of the main problems that this approach
has in game playing is that it sometimes misses an isolated, very
good move. These approaches are often strong strategically but weak
tactically, as tactical decisions tend to rely on a small number of
crucial moves which are easily missed by the randomly searching
Monte Carlo algorithm.

[edit] Monte Carlo simulation versus “what if” scenarios

The opposite of Monte Carlo simulation might be considered

deterministic modeling using single-point estimates. Each uncertain
variable within a model is assigned a “best guess” estimate. Various
combinations of each input variable are manually chosen (such as
best case, worst case, and most likely case), and the results recorded
for each so-called “what if” scenario.[11]

By contrast, Monte Carlo simulation considers random sampling of

probability distribution functions as model inputs to produce hundreds
or thousands of possible outcomes instead of a few discrete
scenarios. The results provide probabilities of different outcomes
occurring.[12]

For example, a comparison of a spreadsheet cost construction model

run using traditional “what if” scenarios, and then run again with
Monte Carlo simulation and Triangular probability distributions shows
that the Monte Carlo analysis has a narrower range than the “what if”
analysis. This is because the “what if” analysis gives equal weight to
all scenarios.[13]

For further discussion, see quantifying uncertainty under corporate

finance.
[edit] Use in mathematics

In general, Monte Carlo methods are used in mathematics to solve

various problems by generating suitable random numbers and
observing that fraction of the numbers which obeys some property or
properties. The method is useful for obtaining numerical solutions to
problems which are too complicated to solve analytically. The most
common application of the Monte Carlo method is Monte Carlo
integration.

[edit] Integration

Main article: Monte Carlo integration

Deterministic methods of numerical integration usually operate by

taking a number of evenly spaced samples from a function. In
general, this works very well for functions of one variable. However,
for functions of vectors, deterministic quadrature methods can be
very inefficient. To numerically integrate a function of a two-
dimensional vector, equally spaced grid points over a two-
dimensional surface are required. For instance a 10x10 grid requires
100 points. If the vector has 100 dimensions, the same spacing on the
grid would require 10100 points—far too many to be computed. 100
dimensions is by no means unusual, since in many physical problems,
a "dimension" is equivalent to a degree of freedom. (See Curse of
dimensionality.)

Monte Carlo methods provide a way out of this exponential time-

increase. As long as the function in question is reasonably well-
behaved, it can be estimated by randomly selecting points in 100-
dimensional space, and taking some kind of average of the function
values at these points. By the law of large numbers, this method will

display convergence—i.e. quadrupling the number of sampled

points will halve the error, regardless of the number of dimensions.

A refinement of this method is to somehow make the points random,
but more likely to come from regions of high contribution to the
integral than from regions of low contribution. In other words, the
points should be drawn from a distribution similar in form to the
integrand. Understandably, doing this precisely is just as difficult as
solving the integral in the first place, but there are approximate
methods available: from simply making up an integrable function
thought to be similar, to one of the adaptive routines discussed in the
topics listed below.

A similar approach involves using low-discrepancy sequences instead

—the quasi-Monte Carlo method. Quasi-Monte Carlo methods can
often be more efficient at numerical integration because the
sequence "fills" the area better in a sense and samples more of the
most important points that can make the simulation converge to the
desired solution more quickly.

[edit] Integration methods

• Direct sampling methods

o Importance sampling
o Stratified sampling
o Recursive stratified sampling
o VEGAS algorithm
• Random walk Monte Carlo including Markov chains
o Metropolis-Hastings algorithm
• Gibbs sampling

[edit] Optimization

Most Monte Carlo optimization methods are based on random walks.

Essentially, the program will move around a marker in multi-
dimensional space, tending to move in directions which lead to a
lower function, but sometimes moving against the gradient.

Another powerful and very popular application for random numbers in

numerical simulation is in numerical optimization. These problems use
functions of some often large-dimensional vector that are to be
minimized (or maximized). Many problems can be phrased in this
way: for example a computer chess program could be seen as trying
to find the optimal set of, say, 10 moves which produces the best
evaluation function at the end. The traveling salesman problem is
another optimization problem. There are also applications to
engineering design, such as multidisciplinary design optimization.

[edit] Optimization methods

• Evolution strategy
• Genetic algorithms
• Parallel tempering
• Simulated annealing
• Stochastic optimization
• Stochastic tunneling

[edit] Inverse problems

Probabilistic formulation of inverse problems leads to the definition of

a probability distribution in the model space. This probability
distribution combines a priori information with new information
obtained by measuring some observable parameters (data). As, in the
general case, the theory linking data with model parameters is
nonlinear, the a posteriori probability in the model space may not be
easy to describe (it may be multimodal, some moments may not be
defined, etc.).

When analyzing an inverse problem, obtaining a maximum likelihood

model is usually not sufficient, as we normally also wish to have
information on the resolution power of the data. In the general case
we may have a large number of model parameters, and an inspection
of the marginal probability densities of interest may be impractical, or
even useless. But it is possible to pseudorandomly generate a large
collection of models according to the posterior probability distribution
and to analyze and display the models in such a way that information
on the relative likelihoods of model properties is conveyed to the
spectator. This can be accomplished by means of an efficient Monte
Carlo method, even in cases where no explicit formula for the a priori
distribution is available.

The best-known importance sampling method, the Metropolis

algorithm, can be generalized, and this gives a method that allows
analysis of (possibly highly nonlinear) inverse problems with complex
a priori information and data with an arbitrary noise distribution. For
details, see Mosegaard and Tarantola (1995),[14] or Tarantola (2005).[15]

[edit] Computational mathematics

Monte Carlo methods are useful in many areas of computational

mathematics, where a lucky choice can find the correct result. A
classic example is Rabin's algorithm for primality testing: for any n
which is not prime, a random x has at least a 75% chance of proving
that n is not prime. Hence, if n is not prime, but x says that it might
be, we have observed at most a 1-in-4 event. If 10 different random x
say that "n is probably prime" when it is not, we have observed a one-
in-a-million event. In general a Monte Carlo algorithm of this kind
produces one correct answer with a guarantee n is composite, and
x proves it so, but another one without, but with a guarantee of not
getting this answer when it is wrong too often — in this case at most
25% of the time. See also Las Vegas algorithm for a related, but
different, idea.

[edit] Monte Carlo and random numbers

Interestingly, Monte Carlo simulation methods do not always require

truly random numbers to be useful — while for some applications,
such as primality testing, unpredictability is vital (see Davenport
(1995)).[16] Many of the most useful techniques use deterministic,
pseudo-random sequences, making it easy to test and re-run
simulations. The only quality usually necessary to make good
simulations is for the pseudo-random sequence to appear "random
enough" in a certain sense.
What this means depends on the application, but typically they should
pass a series of statistical tests. Testing that the numbers are
uniformly distributed or follow another desired distribution when a
large enough number of elements of the sequence are considered is
one of the simplest, and most common ones.

[edit] See also

[edit] General

Statistics
portal

• Auxiliary field Monte Carlo

• Bootstrapping (statistics)
• Demon algorithm
• Evolutionary computation
• FERMIAC
• Markov chain
• Molecular dynamics
• Monte Carlo option model
• Monte Carlo integration
• Quasi-Monte Carlo method
• Random number generator
• Randomness
• Resampling (statistics)

[edit] Application areas

• Graphics, particularly for ray tracing; a version of the Metropolis-Hastings

algorithm is also used for ray tracing where it is known as Metropolis light
transport
• Modeling light transport in biological tissue
• Monte Carlo methods in finance
• Reliability engineering
• In simulated annealing for protein structure prediction
• In semiconductor device research, to model the transport of current
carriers
• Environmental science, dealing with contaminant behavior
• In geophysics, to invert seismic refraction data.[17]
• Search And Rescue and Counter-Pollution. Models used to predict the drift
of a life raft or movement of an oil slick at sea.
• In probabilistic design for simulating and understanding the effects of
variability
• In physical chemistry, particularly for simulations involving atomic
clusters
• In biomolecular simulations
• In polymer physics
o Bond fluctuation model
• In computer science
o Monte Carlo algorithm
o Las Vegas algorithm
o LURCH
o Computer go
o General Game Playing
• Modeling the movement of impurity atoms (or ions) in plasmas in
existing and tokamaks (e.g.: DIVIMP).
• Nuclear and particle physics codes using the Monte Carlo method:
o GEANT — CERN's simulation of high energy particles interacting
with a detector.
o FLUKA — INFN and CERN's simulation package for the interaction
and transport of particles and nuclei in matter
o SRIM, a code to calculate the penetration and energy deposition of
ions in matter.
o CompHEP, PYTHIA — Monte-Carlo generators of particle collisions
o MCNP(X) - LANL's radiation transport codes
o MCU: universal computer code for simulation of particle transport
(neutrons, photons, electrons) in three-dimensional systems by
means of the Monte Carlo method
o EGS — Stanford's simulation code for coupled transport of
electrons and photons
 o PEREGRINE: LLNL's Monte Carlo tool for radiation therapy dose
calculations
o BEAMnrc — Monte Carlo code system for modeling radiotherapy
sources (LINAC's)
o PENELOPE — Monte Carlo for coupled transport of photons and
electrons, with applications in radiotherapy
o MONK — Serco Assurance's code for the calculation of k-effective
of nuclear systems
• Modelling of foam and cellular structures
• Modeling of tissue morphogenesis
• Computation of holograms
• Phylogenetic analysis, i.e. Bayesian inference, Markov chain Monte Carlo

[edit] Other methods employing Monte Carlo

• Assorted random models, e.g. self-organized criticality

• Direct simulation Monte Carlo
• Dynamic Monte Carlo method
• Kinetic Monte Carlo
• Quantum Monte Carlo
• Quasi-Monte Carlo method using low-discrepancy sequences and self
avoiding walks
• Semiconductor charge transport and the like
• Electron microscopy beam-sample interactions
• Stochastic optimization
• Cellular Potts model
• Markov chain Monte Carlo
• Cross-entropy method
• Applied information economics
• Monte Carlo localization
• Evidence-based Scheduling
• Binary collision approximation
• List of software for Monte Carlo molecular modeling
[edit] Notes

1. ^ a b
Douglas Hubbard "How to Measure Anything: Finding the Value of
Intangibles in Business" pg. 46, John Wiley & Sons, 2007
2. ^ Douglas Hubbard "The Failure of Risk Management: Why It's Broken
and How to Fix It", John Wiley & Sons, 2009
3. ^ Nicholas Metropolis (1987). "The beginning of the Monte Carlo
method". Los Alamos Science (1987 Special Issue dedicated to Stanislaw
Ulam): 125–130. http://library.lanl.gov/la-pubs/00326866.pdf.
4. ^ http://people.cs.ubc.ca/~nando/papers/mlintro.pdf
5. ^ Charles Grinstead & J. Laurie Snell "Introduction to Probability" pp. 10-
11, American Mathematical Society, 1997
6. ^ H.L. Anderson, "Metropolis, Monte Carlo and the MANIAC," Los Alamos
Science, no. 14, pp. 96-108, 1986.
7. ^ Stephan A. Baeurle (2009). "Multiscale modeling of polymer materials
using field-theoretic methodologies: a survey about recent
developments". Journal of Mathematical Chemistry 46 (2): 363–426.
doi:10.1007/s10910-008-9467-3.
http://www.springerlink.com/content/xl057580272w8703/.
8. ^ H. T. MacGillivray, R. J. Dodd, Monte-Carlo simulations of galaxy
systems, Astrophysics and Space Science, Volume 86, Number 2 /
September, 1982, Springer Netherlands [1]
9. ^ Sawilowsky, Shlomo S.; Fahoome, Gail C. (2003). Statistics via Monte
Carlo Simulation with Fortran. Rochester Hills, MI: JMASM. ISBN 0-
9740236-0-4.
10. ^ Sawilowsky, S. (2003). You think you've got trivials? Journal of Modern
Applied Statistical Methods, 2(1), 218-225.
11. ^ David Vose: “Risk Analysis, A Quantitative Guide,” Second Edition, p.
13, John Wiley & Sons, 2000.
12. ^ Ibid, p. 16
13. ^ Ibid, p. 17, showing graph
14. ^
http://www.ipgp.jussieu.fr/~tarantola/Files/Professional/Papers_PDF/Monte
Carlo_latex.pdf
15. ^ http://www.ipgp.jussieu.fr/~tarantola/Files/Professional/SIAM/index.html
 16. ^ Davenport, J. H.. "Primality testing revisited".
doi:http://doi.acm.org/10.1145/143242.143290.
http://doi.acm.org/10.1145/143242.143290. Retrieved 2007-08-19.
17. ^ Desman Geophysics - seismic refraction inversion users manual.
http://www.desmangeophysics.com/wb/pages/home/product/users-
manual.php

[edit] References
Constructs such as ibid. and loc. cit. are discouraged by Wikipedia's
style guide for footnotes, as they are easily broken. Please improve
this article by replacing them with named references (quick guide), or an
abbreviated title.

• Metropolis, N.; Ulam, S. (1949). "The Monte Carlo Method". Journal of the
American Statistical Association (American Statistical Association) 44
(247): 335–341. doi:10.2307/2280232. PMID 18139350.
http://jstor.org/stable/2280232.
• Metropolis, Nicholas; Rosenbluth, Arianna W.; Rosenbluth, Marshall N.;
Teller, Augusta H.; Teller, Edward (1953). "Equation of State Calculations
by Fast Computing Machines". Journal of Chemical Physics 21 (6): 1087.
doi:10.1063/1.1699114.
• Hammersley, J. M.; Handscomb, D. C. (1975). Monte Carlo Methods.
London: Methuen. ISBN 0416523404.
• Kahneman, D.; Tversky, A. (1982). Judgement under Uncertainty:
Heuristics and Biases. Cambridge University Press.
• Gould, Harvey; Tobochnik, Jan (1988). An Introduction to Computer
Simulation Methods, Part 2, Applications to Physical Systems. Reading:
Addison-Wesley. ISBN 020116504X.
• Binder, Kurt (1995). The Monte Carlo Method in Condensed Matter
Physics. New York: Springer. ISBN 0387543694.
• Berg, Bernd A. (2004). Markov Chain Monte Carlo Simulations and Their
Statistical Analysis (With Web-Based Fortran Code). Hackensack, NJ:
World Scientific. ISBN 9812389350.
• Caflisch, R. E. (1998). Monte Carlo and quasi-Monte Carlo methods. Acta
Numerica. 7. Cambridge University Press. pp. 1–49.
• Doucet, Arnaud; Freitas, Nando de; Gordon, Neil (2001). Sequential
Monte Carlo methods in practice. New York: Springer. ISBN 0387951466.
 • Fishman, G. S. (1995). Monte Carlo: Concepts, Algorithms, and
Applications. New York: Springer. ISBN 038794527X.
• MacKeown, P. Kevin (1997). Stochastic Simulation in Physics. New York:
Springer. ISBN 9813083263.
• Robert, C. P.; Casella, G. (2004). Monte Carlo Statistical Methods (2nd
ed.). New York: Springer. ISBN 0387212396.
• Rubinstein, R. Y.; Kroese, D. P. (2007). Simulation and the Monte Carlo
Method (2nd ed.). New York: John Wiley & Sons. ISBN 9780470177938.
• Mosegaard, Klaus; Tarantola, Albert (1995). "Monte Carlo sampling of
solutions to inverse problems". J. Geophys. Res. 100 (B7): 12431–12447.
doi:10.1029/94JB03097.
• Tarantola, Albert (2005). Inverse Problem Theory. Philadelphia: Society
for Industrial and Applied Mathematics. ISBN 0898715725.
http://www.ipgp.jussieu.fr/~tarantola/Files/Professional/SIAM/index.html.

[edit] External links

• Overview and reference list, Mathworld

• Introduction to Monte Carlo Methods, Computational Science Education
Project
• The Basics of Monte Carlo Simulations, University of Nebraska-Lincoln
• Introduction to Monte Carlo simulation (for Microsoft Excel), Wayne L.
Winston
• Monte Carlo Methods - Overview and Concept, brighton-webs.co.uk
• Molecular Monte Carlo Intro, Cooper Union
• Monte Carlo techniques applied in physics
• Risk Analysis in Investment Appraisal, The Application of Monte Carlo
Methodology in Project Appraisal, Savvakis C. Savvides
• Monte Carlo Method Example, A step-by-step guide to creating a monte
carlo excel spreadsheet
• Pricing using Monte Carlo simulation, a practical example, Prof. Giancarlo
Vercellino
• Approximate And Double Check Probability Problems Using Monte Carlo
method at Orcik Dot Net
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• WATER RESOURCES RESEARCH, VOL. 34, NO. 8, PP. 1909-1918,
1998
doi:10.1029/98WR01374
• A new two-step stochastic modeling approach: Application to
water transport in a spatially variable unsaturated soil
• Per Loll
• Environmental Engineering Laboratory, Department of Civil
Engineering, Aalborg University, Aalborg, Denmark
• Per Moldrup
• Environmental Engineering Laboratory, Department of Civil
Engineering, Aalborg University, Aalborg, Denmark
• A new two-step stochastic modeling approach based on
stochastic parameter inputs to a deterministic model system is
presented. Step I combines a Stratified sampling scheme with a
deterministic model to establish a deterministic response
surface (DRS). Step II combines a Monte Carlo sampling scheme
with the DRS to establish the stochastic model response. The
new two-step approach is demonstrated on a one-dimensional
unsaturated water flow problem at field scale with a dynamic
surface flux and two spatially variable and interdependent
parameters: The Campbell [1974] soil water retention
parameter (b) and the saturated hydraulic conductivity (Ks). The
new two-step stochastic modeling approach provides a highly
time efficient way to analyze consequences of uncertainties in
stochastic parameter input at field scale. The new two-step
approach is competitive in analyzing problems with time
consuming deterministic model runs where the stochastic
 problem can be adequately described by up to two spatially
variable parameters.
• Received 3 February 1998; accepted 23 April 1998; .