Probability management


The discipline of probability management communicates and calculates uncertainties as vector arrays of simulated or historical realizations and meta data called Stochastic Information Packets. A set of SIPs, which preserve statistical relationships between variables is said to be coherent and is referred to as a Stochastic Library Unit with Relationships Preserved. SIPs and SLURPs allow Stochastic Simulations to Communicate with each other. See for example, Analytica, Analytica, , , and .
The first large documented application of SIPs involved the exploration portfolio of Royal Dutch Shell in 2005 as reported by Savage, Scholtes, and Zweidler, who formalized the discipline of probability management in 2006. The topic is also explored at length in.
Vectors of simulated realizations of probability distributions have been used to drive stochastic optimization since at least 1991. Andrew Gelman has described such arrays of realizations as Random Variable Objects in 2007.
In 2013 was incorporated as a 501 non-profit that supports this approach through education, tools, and open standards. The Executive Director, Sam Savage, is author of The Flaw of Averages: Why we Underestimate Risk in the Face of Uncertainty and Adjunct Professor at Stanford University. He is joined on the board by Harry Markowitz, Nobel laureate in Economics. The nonprofit has received financial support from Chevron Corporation, General Electric, Lockheed Martin, PG&E and Wells Fargo Bank. The open SIPmath 2.0 Standard supports XLSX, CSV and XML Formats