eldo_user

Monte Carlo Analysis
MCCONV Extract Function
MCCONV Extract Function
The test of convergence is associated to a specific ‘pseudo-extract’ in Eldo’s language for
extraction. The MCCONV extract returns 0 or 1 to indicate convergence of the Monte Carlo
process for the specified quantity. This extract function, used in conjunction with .MC
AUTOSTOP, controls the run-length of the Monte Carlo process, and can save CPU time.
Syntax
.EXTRACT MCCONV(meas_name, AVG|STD|KURT|SKEW,
+ SETTLING[,WINDOW[,ABSTOL[,RELTOL]]])
.EXTRACT MCCONV(meas_name, AVG|STD,
+ CONFIDENCE[,NRUN_PILOT[,CONFIDENCE_LEVEL[,ABSTOL[,RELTOL]]]])
Parameters
• SETTLING
The Monte Carlo process is stopped if adding new samples no longer changes the output by
more than a certain threshold. When the SETTLING algorithm is specified, the default
values are WINDOW=20, ABSTOL=0.01, and RELTOL=0.01. In the description of the
SETTLING Technique algorithm, the WINDOW argument is referred to as parameter w,
and the arguments ABSTOL and RELTOL are referred to as ε ABS and ε REL .
• CONFIDENCE
The Monte Carlo analysis is stopped when the confidence interval is small. This algorithm
is defined for AVG and STD; not for SKEW, or KURT. When the CONFIDENCE
algorithm is specified, the default values are NRUN_PILOT=20,
CONFIDENCE_LEVEL=0.95, ABSTOL=0.01, and RELTOL=0.01. In the description of
the CONFIDENCE Technique algorithm, the NRUN_PILOT argument is referred to as
parameter p, and the arguments ABSTOL and RELTOL are referred to as ε ABS and ε REL .
The CONFIDENCE_LEVEL argument is the value 1 − α within the error criterion, it must
satisfy the bounds 0 < 1 − α < 1. For example, a 99% confidence interval will correspond to
CONFIDENCE_LEVEL=0.99. If a value is specified out of the bounds it will default to
0.95 (or 95%).
Note
The arguments WINDOW and NRUN_PILOT have a different meaning. The
window size represents the number of times the convergence test has to be satisfied
before stopping the Monte Carlo procedure. On the other hand, the number of pilot runs
represents the minimum number of runs that Eldo must perform before controlling the
run-length. This number must be considered as the minimal number of runs to perform
to obtain a first approximation of the AVG or STD estimator.
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Eldo® User's Manual, 15.3