Handbook in Operations Research and Management Science: Simulation. Vol. 13

Subjective probability and Bayesian methods provide a unified approach to handling not only randomness from stochastic sample-paths, but also uncertainty about input parameters and response metamodels. The chapter surveys some basic concepts, principles and techniques useful for a subjective Bayesian approach to uncertainty analysis, data collection plans to reduce input uncertainty, response surface modeling, and expected value-of-information approaches to experimental designs for selection procedures. Some diversions from the classic technique are identified.