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MathGroup Archive 2005

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Re: Monte Carlo Simulation Experiences

  • To: mathgroup at smc.vnet.net
  • Subject: [mg53690] Re: Monte Carlo Simulation Experiences
  • From: nafod40 <noneya at business.com>
  • Date: Sun, 23 Jan 2005 02:02:20 -0500 (EST)
  • Organization: Penn State University, Center for Academic Computing
  • References: <cst5g5$k0n$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

MikeK wrote:
> I am doing some research on CPU intensive computer simulation
> techniques, more specifically monte carlo simulations and analysis.
> Basically I'm trying to get a feel for real world usage models,
> methodologies, tools, techniques, and general experiences. Any and all
> feedback would be greatly appreciated.
> 
> 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?

We use Mathematica along with Mathlink for Excel, Frontline's Solver 
Excel add-in, and Crystal Ball, the Excel Monte Carlo sim package. 
Mathematica is used to calculate subsets of coupled equations, typically 
3-4 inputs and 10-12 outputs. Solver is used to iteratively solve the 
coupled equations by posing the coupings as constraints. Crystal Ball 
repeatedly sets new inputs, then calls Solver to resolve the new coupled 
equation.

> How long do your simulations typically take to complete?

Depends on the amount of coupling and the smoothness of the relations 
embedded in Mathematica. Lots of discontinuities gives the Solver fits. 
Lots of constraints does too. Anywhere from 100 iterations per minute to 
100 minutes per iteration.

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

Ordering the calculations in the coupled equation, how the constraints 
are expressed, and the settings for the solver all impact run time.

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

PCs

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

Conceptual design of complex systems

> 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.

http://dbds.jpl.nasa.gov/dbds_presentations/Session_9/Yukish_ATSVOverview%20DBDS.pdf


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