eldo_user

Monte Carlo Analysis
CONFIDENCE Technique
To control the relative error and have
, then samples are simulated until:
This statistical test is implemented as follows:
where ε ABS and ε REL are respectively the absolute tolerance and the relative tolerances for
convergence, with default values ε ABS = 10 −2 and ε REL = 10 −2 . By default the confidence level
is chosen such that a 95% confidence interval is computed for μ, and you can adjust this
parameter.
Stopping Test for STD
A similar criterion exists for the standard deviation. It is possible to give a confidence interval
for the variance under some assumptions. With a random sequence θ 1 , θ 2 , ..., θ n which follows a
normal distribution N(μ, σ 2 ) where the mean value μ is unknown, we can prove that:
With a confidence interval:
with confidence level 1 − α. The numbers a and b are automatically computed and satisfy the
relation where . This statistical test is implemented as
follows:
The value σ p is obtained after p pilot simulations.
516
Eldo® User's Manual, 15.3