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Monte Carlo Simulation

Monte Carlo Simulation. CSE 414. What Is Monte Carlo Simulation?. A problem solving technique used to approximate the probability of certain outcomes by running multiple trial runs, called simulations, using random variables.

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Monte Carlo Simulation

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  1. Monte Carlo Simulation CSE 414

  2. What Is Monte Carlo Simulation? • A problem solving technique used to approximate the probability of certain outcomes by running multiple trial runs, called simulations, using random variables. • Monte Carlo simulations are used to model the probability of different outcomes in a process that cannot easily be predicted due to the intervention of random variables

  3. Monte Carlo Simulation • A problem solving technique used to approximate the probability of certain outcomes by running multiple trial runs, called simulations, using random variables. • Monte Carlo simulations are used to model the probability of different outcomes in a process that cannot easily be predicted due to the intervention of random variables

  4. Monte Carlo Simulation • The technique is used by professionals in widely disparate fields such as • Finance, Project management • Energy, manufacturing • Engineering, Research and development • History • Monte Carlo simulation was named after the city in Monaco. • The technique was first used by scientists working on the atom bomb.

  5. How Monte Carlo works? • In a Monte Carlo simulation, a random value is selected for each of the tasks, based on the range of estimates. The model is calculated based on this random value. The result of the model is recorded, and the process is repeated. • A typical Monte Carlo simulation calculates the model hundreds or thousands of times, each time using different randomly-selected values. When the simulation is complete, we have a large number of results from the model, each based on random input values. These results are used to describe the likelihood, or probability, of reaching various results in the model.

  6. Coin Tossing Problemweb page(inernet connection needed) • http://staff.argyll.epsb.ca/jreed/math7/strand4/4203.htm • Monte Carlo simulation is particularly useful when you want to predict the overall outcome of a series of related events when you only know the statistical probability of the outcome of each component event.

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