If you like coding, statistics and problems that are not trivial… You found the right place. In this post, I will try to show an example to a way for solving this type of questions. For the readers that don’t remember what is Monte Carlo simulation (don’t be shy) – You might want to check a previous post that I wrote last summer and give you an intro to the world of Monte Carlo on Apps script and Google compute engine.
Monte Carlo experiments (simulations) are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. In most cases, we will run our simulations many times over in order to obtain the distribution of an unknown probabilistic entity. This tool is often used in physical and mathematical problems and are most useful when it is difficult or impossible to obtain a closed-form expression, or infeasible to apply a deterministic algorithm.
In the real world, we see it being mainly used in three distinct problem classes:
* Numerical integration.
* Generation of draws from a probability distribution.
OK, there is no time. The game starts in two days.
Monte Carlo simulations tend to follow a particular pattern. Here is how we will use this tool: Continue reading