Monte Carlo method
Probabilistic design approach. Uncertainty quantification and Monte-Carlo method
Article REF: BM5003 V2
Monte Carlo method
Probabilistic design approach. Uncertainty quantification and Monte-Carlo method

Author : Maurice LEMAIRE

Publication date: April 10, 2014 | Lire en français

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3. Monte Carlo method

The Monte-Carlo method is a simple, but not necessarily efficient, approach to simulating random variables. This section first presents the generation of pseudo-random numbers, then its implementation for sensitivity and reliability analyses. It is illustrated by the example of the two bars.

3.1 Sample of a random variable with a given distribution

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3.1.1 Uniform pseudo-random numbers

A sequence u i of uniform pseudo-random numbers is a sample...

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