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MathGroup Archive 2005

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Re: Monte Carlo Simulation Experiences

  • To: mathgroup at smc.vnet.net
  • Subject: [mg54627] Re: Monte Carlo Simulation Experiences
  • From: Valentina Mikel <valentina.mikel at po.htnet.hr>
  • Date: Thu, 24 Feb 2005 03:21:31 -0500 (EST)
  • References: <cst5g5$k0n$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

MikeK wrote:

> What tools do you use to perform simulations, and more specifically
> Monte Carlo type simulations? I assume those reading this newsgroup are
> using Mathematica, but how specifically are you using it? What other
> tools do you / have you used statistical math packages, spreadsheet
> plug-ins, homegrown code, other?

When I need most performace I use plain C++ and WMPI interface (grid)

Otherwise MathLink for Excel in combination with Solver and Crystal Ball 
or DecisionTools from Palisade

> How long do your simulations typically take to complete?

Longest one was 10 days, usually much less :)

> What techniques, if any, do you use to reduce your simulation time?

Use C++ and as much computing power you can get!

> What class of computer Hardware do you use?
> (PC, supercomputer, low cost HPC cluster, other?)

I have my own home grid station:
   -2x P4 3Ghz laptops
   -dual XEON 3Ghz server


> What kind of applications (generally) are you applying Monte Carlo
> analysis to?

Financial modeling, risk analysis, business-case scenarios

> I have access to general information on Monte Carlo Simulation, but I'm
> more interested in real world uses and users. Any links to that type of
> information, discussion groups, etc... again would be greatly
> appreciated.

Mike, try testing evaluations of Crystal Tools and/or DecisionTools 
package. Both pages have some tutorials on using their tools. I think 
Excel + these add-ins are a great start for simulations (real world 
uses, as you said). Also a good page with tutorials is 
www.risk-modelling.com (both Crystal Ball and @RISK from Palisade). The 
URLs:

www.palisade.com (Excel add-ins)
www.crystalball.com (Excel add-ins)
www.risk-modelling.com (tutorials for Crystal Ball and @RISK)
www.criticalsoftware.com/hpc/ (commercial Grid platform for C++, works 
great)


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