Resampling simulation results for correlated events

Abstract

A computing system including a processor configured to receive, for a plurality of correlated random variables, a simulation sample including a plurality of simulations. The processor may generate a surrogate cumulative distribution model at least in part by estimating a plurality of surrogate model parameters. Based at least in part on the surrogate cumulative distribution model, the processor may select one or more subsets of the plurality of simulations. In each of one or more resampling iterations, until a sum of respective discrepancy scores of the subsets is determined to meet an optimization threshold, the processor may compute the discrepancy scores. Based at least in part on the sum, the processor may sample one or more resampled simulations. The processor may replace one or more simulations included in the one or more subsets with the one or more resampled simulations. The processor may output the one or more subsets.