Monte Carlo Simulation

Lecture 5

L5.2

Overview
Monte Carlo Simulation Overview
Key Components
Terminology
Basic Approach
Sampling Techniques
Probability Table

Introduction to Isight

L5.3

Monte Carlo Simulation Overview

In use for centuries

In the past several decades has gained status

Monte Carlo coined during Manhattan project of WWII due to similarities to statistical games of chance

The game is a physical system - the stack of chips is a solution to some specific problem

Used routinely in diverse fields from complex to mundane

Simulate complex weather systems

Sub nuclear physics

Simulation of bingo games

Introduction to Isight

L5.4

Why use Monte Carlo Simulation?

Identify key random variables affecting responses (output parameters)

Investigate the variability of responses caused by random variables

Assess need to implement reliability/robust design method

Used in reliability analysis, robust design

Tolerance design problems

Introduction to Isight

L5.5

Key Components of MCS

Probability Distribution Functions (pdfs)
Random Number Generator
Sampling Rules
Variance Reduction Techniques
Reducing variance to reduce computational time (reducing error level
based on how many points evaluated)

Introduction to Isight

L5.6

Monte Carlo Simulation Terminology

Mean - Average of a set of values

Standard Deviation - measure of how widely values are dispersed from the mean

Coefficient of Variation - Standard Deviation/Mean

Skewness - Measure of distribution asymmetry about the mean. Positive skewness indicates a skew
toward the positive

Kurtosis - Measure of distributions relative flattening or peaking compared to a normal distribution.

Negative indicates flatter.

Introduction to Isight

L5.7

MCS: Basic Approach

Identify random variables,

Assign distributions

Sampling Techniques:

Simple Random Sampling

Descriptive Sampling

Set max # simulations, N;

Set i =1

Distributions:

Normal

Lognormal

Weibull

Gumbel

Uniform

Exponential

Generate uniform
random numbers
Convert random numbers to
random variable values

Convergence:

Std. Deviation and Mean checked every 25

runs

25

Simulate design / process

for current values

no

i=i+1

no

Converged?
yes

i = N?

yes

Post processing:
Statistical analysis of response
Introduction to Isight

L5.8

MCS: Random Variable Distributions

Normal Describes most natural occurrences, symmetrical about the mean, approximately 68 percent is within 1
Standard Deviation of the mean.

68.3%

Lognormal Skewed toward the right; natural log yields normal distribution; can increase without limit but cannot fall
below specific values; (e.g., stock prices).

Weibull Commonly used to describe failure time and breaking strengths of materials.

Gumbel - Type I extreme value distribution, based on largest element; describes breaking strength for some materials,
breakdown voltages of capacitors.
I

Uniform All values between the minimum and maximum occur with equal likelihood.

Exponential Used to describe time between events; not effected by previous events.

Custom You can create your own pdf as a plug in using the SDK

Introduction to Isight

L5.9

Monte Carlo Sampling Techniques

Large number of sampling points often required

Use of variance reduction technique can lead to reduced points

Since sample points are independent, distributed and/or parallel
computing is possible

Introduction to Isight

L5.10

Sampling: Monte Carlo Simulation

Sample from known distributions, randomly or in random combinations

Variance Reduction Technique
x2
probability
density
Function

x2

Simple Random
Sampling

fX2(x2)

fX2(x2)
x1

x1

fX1(x1)
cumulative
distribution
Function

Descriptive
Sampling

fX1(x1)

Inverse CDF
Method

FXi(xi)

FXi(xi)
0

xi
Xi = FXi-1(RANDOM0-1 )
Introduction to Isight

xi
Xi = FXi-1(UNIFORM0-1 )

L5.11

Monte Carlo Simulation Results

Measure Performance Variability

X2

Response Statistics: Mean, Standard Deviation, Variance,

Skewness, Kurtosis

Response PDF, CDF

Identify Key Random Variables

Estimate Reliability:

Probability of failure defined by number points outside

constraint

Constraint g1

MCS cloud

feasible
design space

X1

Computational Expense:

Number of sampling points independent of number of random

variables

Inherently parallelizable

Thousands or hundreds of thousands of sampling points often

needed

Number of Failed Points

Pf =

Total Number of points

Number of Successful Points

R = 1-Pf =

Total Number of points

Introduction to Isight

L5.12

Using MCS to Estimate Reliability

Output Responses can estimate reliability levels using Percentile

charts like the one below

Introduction to Isight

L5.13

MCS Results Probability Table

Estimate Reliability - Probability of failure defined by number points outside constraint

Introduction to Isight

L5.14

Understanding Probability Table

Parameter

Lower

Upper

Between

CabinTemperature

0.95

0.666

0.616

Lower Bound

5%

95%

24.5

Introduction to Isight

L5.15

Understanding Probability Table

Parameter

Lower

Upper

Between

CabinTemperature

0.95

0.666

0.616

Upper Bound
66.6%

33.4%

25.5

Introduction to Isight

L5.16

Understanding Probability Table

Parameter

Lower

Upper

Between

CabinTemperature

0.95

0.666

0.616

Lower Bound

Upper Bound

61.6%

24.5

25.5

Introduction to Isight