Monte Carlo Analysis of Time-Varying Parameters

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SE 2020-3-21

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https://ww2.mathworks.cn/matlabcentral/answers/512078-monte-carlo-analysis-of-time-varying-parameters

回答： Aman Vyas 2020-3-26

Hi all,

is there a tool in Matlab/Simulink which assists Monte Carlo Analysis with time-varying parameters?

Usually, parameters are changed all at once before a Monte Carlo run.

But how would you simulate a Monte Carlo run if there are parameters which would change over time (during the Monte Carlo Simulation)?

Here a statement from this paper: https://www.sciencedirect.com/science/article/pii/S0304380000004130 which describes very well what I mean:

Quote:

This paper focuses on the application of Monte Carlo methods to the particular situation in which model parameters are uncertain and believed to vary with time. In such circumstances, application of a simple Monte Carlo technique (in which parameters are selected at the start of the run, and held fixed for the duration) can produce model results which are very far removed from those observed in nature (Kremer, 1983) and also substantially different from the results from analytical solutions (Zielinsky, 1990).

Thank you!