Single-experiment input uncertainty

‘Input uncertainty’ refers to the simulation model risk caused by estimating input distributions from real‐world data, and specifically the (usually unmeasured) variance in performance estimates that this introduces. We provide the first single‐run method for quantifying input uncertainty, meaning that we derive our measure of input‐uncertainty variance–both overall variance and the contribution to it of each input model–from the nominal experiment that the analyst would typically run using the estimated input models; other methods in the literature require additional diagnostic experiments. Application of our method is illustrated with two examples.