Monte Carlo Simulation. Natalia A. Humphreys April 6, 2012 University of Texas at Dallas. Aknowledgement. Wayne L. Winston, “Microsoft Excel Data Analysis and Business Modeling” , 2004. Overview. Part I Questions answered with the help of MCS History Typical simulations
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Natalia A. Humphreys
April 6, 2012
University of Texas at Dallas
In practice, p is selected to be close to 1: 95%, 99%, 99.5%
If Z is N(0, 1) and is Y is N(μ, σ^2), then
33,518.16 = NORMINV(0.258433031, 40,000, 10,000)
Suppose the demand for a Valentine’s Day card is governed by the following discrete r.v.:
How many cards should be printed to get the highest profit?
MIN (Production Quantity, Demand)
unit disposal cost*MAX(produced-demand, 0)
Revenue – total var cost – total disposing cost
Mean Profit ±(1.96*profit std.dev.)/√(number iterations)
MCS provides a number of advantages over deterministic, or “single-point estimate” analysis: