Quality Assurance

Quality Assurance Methods for Monte Carlo Risk Analysis

Scott Ferson

funded by National Institutes of Health (NIH)

Project description

        Although probabilistic risk assessments based on Monte Carlo simulation methods are now routinely used to forecast public health consequences of various management and regulatory decisions regarding potential environmental toxicants, the reliability of the probabilistic assessments is rarely estimated. Mostly this is because the sensitivity studies this would require are extremely cumbersome. We propose to test the feasibility of a direct approach to estimating reliability that is based on probability bounds (i.e. interval bounds on cumulative distribution functions that model the risk of adverse consequences). These bounds can be constructed to contain model uncertainty comprehensively and representation error rigorously.

        The probability bounds approach can be used to redress some of the most serious criticisms commonly leveled against Monte Carlo assessments, including (1) input distributions are unknown, (2) correlations and dependencies among variables are ignored, and (3) mathematical structure of the model is questionable. To establish feasibility, we will conduct case studies that illustrate its use, establish its data requirements, conservativism and workability, derive optimal formulas for use with some common mathematical operations, and explore how empirical information can be used in practice to tighten the bounds. The probability bounds approach is expected to be vastly easier to use than current second-order Monte Carlo methods.

Publications

Ferson, S. 1996. What Monte Carlo methods cannot do. Human and Environmental Risk Assessment [in press, December issue].

Ferson, S. 1996. Reliable calculation in probabilistic logic: accounting for small sample size and model uncertainty. Proceedings of Intelligent Systems: A Semiotic Perspective. National Institute for Standards and Technology, Gaithersburg, Maryland [to appear].

Also see: List of AB Publications

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