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Bayesian Simulation and Decision Analysis: An Expository Survey

Department of Statistical Sciences and Operations Research, Virginia Commonwealth University, Richmond, Virginia 23284
jrmerric{at}vcu.edu

The aim of this expository survey on Bayesian simulation is to stimulate more work in the area by decision analysts. We discuss the main areas of research performed thus far, including input analysis, propagation and estimation of output uncertainty, output analysis, making decisions with simulations, selecting the best simulated system, and applications of Bayesian simulation methods. Throughout, we offer avenues of future research in Bayesian simulation that may be of interest to decision analysts.

Key Words: simulation; Bayesian statistics; decision analysis
History: Received on September 22, 2008. Accepted on March 31, 2009.

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