简单来说,蒙特卡洛(Monte-Carlo)方法被用于确定复杂随机模型中随机对象的期望。 我们举两个例子: 连续地投掷一百次硬币,请问其中连续出现至少十次相同结果的概率有多大? 已知随机函数X={Xt,t∈[0,T]},试求∫0TXt2dt为多少? 这样的问题可以被转化随机变量求期望。 对问题一,记录100次投掷中最多有X次出现连续相...
Setting up a Monte Carlo Simulation in R A good Monte Carlo simulation starts with a solid understanding of how the underlying process works. For the purposes of this example, we are going to estimate the production rate of a packaging line. We are going to buy a set of machines that mak...
5 Making a more efficient monte carlo simulation 0 speed up a monte carlo simulation with nested loop in R 2 R code: Is there a way to make this Monte Carlo simulation quicker? 0 Speeding up simulations in R (with an example) 1 Loop inside loop (or preferably workaround) f...
CFA——Vol.12 Monte Carlo Simulation 00:0017:19打开APP 收听完整版 欢迎大家来到品职CFA金融百词斩的栏目,每次老师会通过讲解一个CFA金融词汇,帮助大家更好地记住一个知识点哦。 这不是一个背单词的栏目,更多地,其实是教授大家记忆的方法。我们更希望看到的是,大家通过我们的抛砖引玉,能结合语境更好地记忆知识...
重复r次 上述过程,得到r个独立同分布的样本Y^{(i)} = g({\bf X}^{(i)}),\ i = 1,...,r。 使用Y^{(i)}的平均值(样本均值)来近似E[g({\bf X})](总体均值)。 2. 两种常用的 MC 方法 MC 方法的原理是从总体中生成大量的样本,Stata 有两种常用的方法。第一种是使用postfile命令,另一种...
Elapsed time on the MacBook Pro was 217.47 seconds, or about 3.6 minutes. Given that we ran 27 different Monte Carlo simulations, the code completed one simulation each 8.05 seconds. The final step is to process the list of lists to create an output data frame that summarizes the analysis....
Monte Carlo method, statistical method of understanding complex physical or mathematical systems by using randomly generated numbers as input into those systems to generate a range of solutions. The likelihood of a particular solution can be found by dividing the number of times that solution was ...
The Monte Carlo simulation is used to model the probability of different outcomes in a process that cannot easily be predicted because of the potential for random variables.
1、风险评估技术-蒙特卡罗模拟分析(Monte Carlo simulatio n)蒙特卡罗模拟分析(Monte Carlo simulation)1概述很多系统过于复杂,无法运用分析技术对不确定性因素的影响进行模拟, 但 可以通过考虑投入随机变量和运行 N次计算(即所谓模拟)的样本,以便获得希望 结果的N个可能成果。描述输入数据的不确定性并开展多项模拟(其中...
2.MonteCarlo方法简史 3.MonteCarlo模拟的应用 4.MonteCarlo算法的主要组成部分 MonteCarlo模拟 第一章引言 (Introduction) 2/4/2022MonteCarlo模拟2 •MonteCarlo方法: 亦称统计模拟方法(statisticalsimulationmethod) 一种采用统计抽样理论近似地求解物理或数学问 ...