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)