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Tutorial: Parallel Computing of Simulation Models for Risk Analysis

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  • Allison C. Reilly
  • Andrea Staid
  • Michael Gao
  • Seth D. Guikema

Abstract

Simulation models are widely used in risk analysis to study the effects of uncertainties on outcomes of interest in complex problems. Often, these models are computationally complex and time consuming to run. This latter point may be at odds with time‐sensitive evaluations or may limit the number of parameters that are considered. In this article, we give an introductory tutorial focused on parallelizing simulation code to better leverage modern computing hardware, enabling risk analysts to better utilize simulation‐based methods for quantifying uncertainty in practice. This article is aimed primarily at risk analysts who use simulation methods but do not yet utilize parallelization to decrease the computational burden of these models. The discussion is focused on conceptual aspects of embarrassingly parallel computer code and software considerations. Two complementary examples are shown using the languages MATLAB and R. A brief discussion of hardware considerations is located in the Appendix.

Suggested Citation

  • Allison C. Reilly & Andrea Staid & Michael Gao & Seth D. Guikema, 2016. "Tutorial: Parallel Computing of Simulation Models for Risk Analysis," Risk Analysis, John Wiley & Sons, vol. 36(10), pages 1844-1854, October.
    • Handle: RePEc:wly:riskan:v:36:y:2016:i:10:p:1844-1854
    DOI: 10.1111/risa.12565
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