eldo_user

Monte Carlo Analysis
Run-Length Control
Run-Length Control
You can use the MCCONV extract function to control the run-length in the context of
sequential Monte Carlo algorithms for estimating E(Y). In contrast to fixed run-length
approaches, samples are generated until some error criterion is satisfied.
Two algorithms CONFIDENCE Technique and SETTLING Technique are provided to control
the convergence. You can monitor the evolution of the various moments to precisely quantify
the notion of convergence. The moments are: AVG and STD for the CONFIDENCE method
and AVG, STD, KURT and SKEW for the SETTLING method to precisely quantify the notion
of convergence. You can stop the Monte Carlo process early by using .MC AUTOSTOP if these
quantities do not vary more than a user-specified limit. This can save CPU time.
The simulation framework used to estimate μ = E[Y]:
• First simulate θ 1 , θ 2 , ..., θ n and set:
• The strong Law of Large Numbers says as .
At this point it is not known how large n should be to obtain a confidence in μ n as an estimator
of μ. In other words, for a fixed value of n, what can be said about the quality of μ n ? There are
two methods to answer this: CONFIDENCE Technique and SETTLING Technique.
Note
Using the Monte Carlo analysis convergence test may interfere with the sensitivity analysis,
and the combination of these features should be avoided as much as possible. The global
sensitivity analysis in the Monte Carlo analysis needs a minimum number of simulations to
provide good results (for example, ~1000 simulations). Users must be careful when interpreting
global sensitivity analysis when the number of simulations is small.
CONFIDENCE Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 514
SETTLING Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 517
MCCONV Extract Function. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 518
CONFIDENCE Technique
Convergence test based on confidence interval techniques.
514
Eldo® User's Manual, 15.3