MONTE-CARLO SIMULATION FOR CORRELATED VARIABLES WITH MARGINAL DISTRIBUTIONS

As computation speed increases, Monte Carlo simulation is becoming a v iable tool for engineering design and analysis. However, restrictions are often imposed on multivariate cases in which the involved stochast ic parameters are correlated. In multivariate Monte Carlo simulation, a joint probability distribution is required that can only be derived for some limited cases. This paper proposes a practical multivariate M onte Carlo simulation that preserves the marginal distributions of ran dom variables and their correlation structure without requiring the co mplete joint distribution. For illustration, the procedure is applied to the reliability analysis of a bridge pier against scouring.