Module 12:Application of stochastic processes in areas of engineering and management science
  Lecture 40:Use of Markov Chain Monte Carlo Method

The Lecture Contains :

Solution Methodology

Reliability Based Optimization Method

  • Performance Measure Approach (PMA) and Reliability Index Approach (RIA) methods

Sequential Optimization and Reliability Assessment (SORA)

Use of MCMC

  • Case 1: (Generalized Exponential Distribution (GED)) non-Bayesian case

Example of GED with Complete data

  • Case 1: (Generalized Exponential Distribution (GED)) Bayesian case

Results using MCMC