Uncertainty propagation by advanced simulation with spreadsheet

In this paper we present an advanced Monte Carlo method called Subset Simulation for uncertainty propagation that can provide better resolution at the distribution tail (i.e., low failure probability levels) while retaining some robustness feature of direct Monte Carlo. We explore implementation of the method in a spreadsheet environment, focusing on application robustness. A VBA package is being developed that can perform efficient uncertainty propagation by plugging into a spreadsheet that performs deterministic analysis. The process is non-intrusive, requiring immaterial modification of the deterministic analysis spreadsheet. Operationally it divides work into deterministic (system) modeling, uncertainty (random variable) modeling and uncertainty propagation (Subset Simulation). It is hoped that the development work can promote use of Monte Carlo simulation tools for uncertainty propagation in the decision-making process.