SPARSE AND NON CONGRUENT STOCHASTIC ROLL-UP

When storing the results of a very large number of stochastic simulation trials of rare events, the amount of data involved may be prohibitive. Sparse and Non-Congruent Stochastic Roll-up are methods for decomposing and storing the results from Monte Carlo simulations such that the data stored only reflects the trials on which a risk event occurred, or focuses attention on some trials over other trials. When the need arises to view or calculate with the fully expressed data set, the results may be aggregated while maintaining statistical relationships between the components of the simulation.