Re: improving speed of simulation using random numbers

*To*: mathgroup at smc.vnet.net*Subject*: [mg128676] Re: improving speed of simulation using random numbers*From*: Peter Klamser <klamser at googlemail.com>*Date*: Fri, 16 Nov 2012 01:51:15 -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*References*: <20121115085635.00CCC69D7@smc.vnet.net>

... you do not use Mathematica style for programming. Better is Timing[Plus @@ Table[RandomReal[], {i, 1, 50}]] {0., 25.5969} Peter 2012/11/15 Peter Klamser <klamser at googlemail.com> > ... you do not use Mathematica style for programming. > > Better is > > Timing[Plus @@ Table[RandomReal[], {i, 1, 50}]] > > {0., 25.5969} > > Peter > > > 2012/11/15 <felipe.benguria at gmail.com> > > 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 >> >> >

**References**:**improving speed of simulation using random numbers***From:*felipe.benguria@gmail.com