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Monte Carlo Simulation in Modeling Complex Systems

Explore the use of Monte Carlo Simulation in modeling complex systems when traditional analytic models are inadequate or impractical. Learn simulation techniques for deterministic and probabilistic behaviors with real-world examples.

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Monte Carlo Simulation in Modeling Complex Systems

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  1. Chapter 5 Simulation Modeling

  2. Introduction • In many situations a modeler is unable to construct an analytic (symbolic) model adequately explaining the behavior being observed because of its complexity or the intractability of the proposed explicative model. • In some circumstances, it may not be feasible either to observe the behavior directly or to conduct experiments. • Examples • Elevator systems • Communications network • Location of machines in a new industrial plant • Evacuation routes • Drag forces on new designs

  3. Monte Carlo Simulation • A Monte Carlo Simulation is a probabilistic technique (stochastic simulation) where a computer is used to draw samples of random numbers in order estimate the behavior of physical phenomena that may otherwise be untractable. • Examples

  4. 5.1 Simulating Deterministic Behavior: Area Under a Curve • Example: • Approximation of 

  5. Volume Under a Surface • Volume of part of part of the sphere x2 + y2 + z2 ≤ 1 that lies in the first octant (the actual volume is  /6  0.5236)

  6. 5.2 Generating Random Numbers • Middle-Square Method • Start with a four-digit number x0, called the seed. • Square it to obtain an eight-digit number (add a leading zero if necessary). • Take the middle four digits as the next random number. • Example • Major drawback: tendency to degenerate to zero.

  7. Generating Random Numbers • Linear Congruence • Modulus c • Multiplier a • Increment b • Cycling: At some point all pseudorandom number generators begin to cycle, i.e. the sequence repeats itself. • Example • With a=1, b=7, and c=10

  8. 5.3 Simulating Probabilistic Behavior • Relative frequency approach to Probability: • Over the long run, the probability of an event can be thought of as the ratio • Example • Law of Large numbers for a fair coin

  9. Simulating Probabilistic Behavior • Example • Monte Carlo simulation of the roll of a fair die. • Monte Carlo simulation of the roll of an unfair die. • Non-uniform random numbers. • Normally distributed random numbers

  10. Simulating Probabilistic Behavior • Project #5, page 193

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