LuistheCode 9-Jul-09 7:379-Jul-09 7:37Hi,So I don't understand how you get the square root in your code for 'triangular'? How or why?So far I can only derive these two things:a,c):f(x) = (2(x-a))/((b-a)(c-a))-x = a + ((f(x)(b-a)(c-a))/2)it is close, but I cannot get to:a + sqrt(R(b-a)(c-a))(c,b:f(x) = (2(b-x))/((b-a)(b-c))-x = b - ((f(x)(b-a)(b-c))/2)it is close, but I cannot get to:b - sqrt((1-R)(b-a)(c-a))I can understand that f(x) can map to R or (1-R).But I cannot understand why (1/2) can map to sqrt.I have a similar problem understanding the square root in this implementation as well.Let me know, thanks.- Luis.
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. What is a Monte Carlo analysis?.
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The Monte Carlo method or Monte Carlo simulation is a mathematical technique used for forecasting which takes into account risk, uncertainty and variability. The method is used in a wide range of fields – project management, physical science, finance, computational biology to name a few – to model outcomes in dynamic systems. Definition: Monte Carlo Simulation is a mathematical technique that generates random variables for modelling risk or uncertainty of a certain system. The random variables or inputs are modelled on the basis of probability distributions such as normal, log normal, etc. Different iterations or simulations are run for generating paths and the outcome is arrived at by using suitable numerical.
What is Monte Carlo sampling?. How does a Monte Carlo simulation work?What is Monte Carlo simulation?Monte Carlo simulation (also known as the Monte Carlo Method) is a computersimulation technique that constructs probability distributions of thepossible outcomes of the decisions you might choose to make. Creatingthe probability distributions of the outcomes allows the decision-makerto quantitatively assess the level of risk that comes with taking a particulardecision and, as a result, select the decision that provides the bestbalance of benefit against risk.A typical result of a Monte Carlo simulation is a histogram of the simulatedoutcomes, like the following. The horizontal axis shows the possible amount of profit a venture maymake, and the vertical axis states how likely those values are. In thisexample, the histogram shows that the most likely profit is a little underzero, with a possible loss of up to $1M or so, but a potential gain of$5-6M, or even higher (though with a very small probability). How does a Monte Carlo simulation work?To perform a Monte Carlo simulation, you must first have a mathematicalmodel, like a spreadsheet. The model will have one of more results ofinterest (called outputs) - like profit, NPV, cashflow, cost, sales volume,etc, The model will depend on a number of quantitative assumptions (calledinputs) - like market size, macroeconomic factors, production capacity,etc.
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