[Date Index]
[Thread Index]
[Author Index]
improving speed of simulation using random numbers
*To*: mathgroup at smc.vnet.net
*Subject*: [mg128662] improving speed of simulation using random numbers
*From*: felipe.benguria at gmail.com
*Date*: Thu, 15 Nov 2012 03:56:34 -0500 (EST)
*Delivered-to*: l-mathgroup@mail-archive0.wolfram.com
*Delivered-to*: l-mathgroup@wolfram.com
*Delivered-to*: mathgroup-newout@smc.vnet.net
*Delivered-to*: mathgroup-newsend@smc.vnet.net
Dear all,
I am trying to compute an expected value using simulation.
I have a random number x with density function d[x]. I want to compute the expected value of function f[x], which is equal to the integral of f[x] times
d[x] over x.
In my case, it is difficult to compute the integral so I simulate N values for x and compute the average of f[x] over all N simulated values.
My problem is that my code takes to long for my purposes: this is a part of a larger program and is making it unfeasible in terms of time.
The following code provides an example of the situation, and my question is how could I reduce the time this takes. THanks a lot for your help
g[x_]:= x^2
mydensity[myparameter_]:= ProbabilityDistribution[myparameter*(t)^(-myparameter - 1), {t, 1, Infinity}]
randomnum[myparameter_] := RandomVariate[draw[myparameter], 50]
Timing[Sum[g[randomnum[5][[i]]], {i, 1, 50}]]
Out[1353]= {0.64, 81.7808}
This takes 0.6 seconds in my computer and that is way too long for my full program ( I do this many times).
Thanks again,
Felipe
Prev by Date:
**Re: Euclidean distance of all pairwise combinations (redundants)**
Next by Date:
**Re: Relational operators on intervals: bug?**
Previous by thread:
**Re: System of second-order nonlinear ordinary differential equations**
Next by thread:
**Re: improving speed of simulation using random numbers**
| |