COMPUTATIONAL ASPECTS OF PROBABILISTIC EXTENSIONS

Abstract

In this article we propose a new approach to computing of functions with random arguments. Approach based on the idea of dimension reduction by to calculating some integrals and the application of numerical probability analysis. We apply one of the basic concepts of numerical probabilistic analysis as the probabilistic extension to computing a function with random arguments. To implement this technique, a new method based on parallel recursive calculations is proposed. Numerical examples are presented demonstrating the effectiveness of the proposed approach.