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How to use Monte Carlo Simulation in Excel?
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#2
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How to use Monte Carlo Simulation in Excel?
On Sun, 1 Jun 2008 09:16:01 -0700, Suparna
wrote: http://office.microsoft.com/en-us/ex...118931033.aspx |
#3
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How to use Monte Carlo Simulation in Excel?
http://www.cpearson.com/excel/newposte.htm
-- Kind regards, Niek Otten Microsoft MVP - Excel "Suparna" wrote in message ... | |
#4
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How to use Monte Carlo Simulation in Excel?
Niek wrote on Sun, 1 Jun 2008 18:29:38 +0200:
http://www.cpearson.com/excel/newposte.htm Possibly there may be a caution on the page but RAN(), in the earlier versions of Excel is not very good. -- James Silverton Potomac, Maryland E-mail, with obvious alterations: not.jim.silverton.at.verizon.not |
#5
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How to use Monte Carlo Simulation in Excel?
On Jun 1, 9:26*am, Lars-Åke Aspelin wrote:
http://office.microsoft.com/en-us/ex...118931033.aspx Great pointer! Going a little off-topic, but hopefully finding some interest among readers of this thread.... Can anyone provide VB code that demonstrates how to generate random data in a normal distribution with known (sampling) mean and standard deviation __without__ relying on Excel features such as NORMINV()? I do not want to rely on Excel features because I actually want to translate the solution into C. (For a Unix system, not Windows.) I did this a few years ago, but I've forgotten how. I think I used Box-Mueller. But when I look at the algorithm today, I do not see how it works for a specific mean and standard deviation. Extra credit: It would be ideal if I could use a beta distribution instead of a normal distribution. (That is, I am interested in __both__.) But I have never understood the theory and how to control the shape of the curve using the alpha and beta parameters. And perhaps for that reason, I have never understood how to implement it in C. Again, I played with it some years ago. But I have little memory of what I learned, if anything. Anyway, any turnkey solutions would be appreciated. I don't have much time to spend on this, and I have access to a Unix system for only a short time. TIA. |
#6
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How to use Monte Carlo Simulation in Excel?
One possibility would be to use the VBA routines for inverse distributions
that are available in http://members.aol.com/iandjmsmith/Examples.xls. These could be translated into C, and are much more accurate than the native Excel functions. Jerry " wrote: On Jun 1, 9:26 am, Lars-Ã…ke Aspelin wrote: http://office.microsoft.com/en-us/ex...118931033.aspx Great pointer! Going a little off-topic, but hopefully finding some interest among readers of this thread.... Can anyone provide VB code that demonstrates how to generate random data in a normal distribution with known (sampling) mean and standard deviation __without__ relying on Excel features such as NORMINV()? I do not want to rely on Excel features because I actually want to translate the solution into C. (For a Unix system, not Windows.) I did this a few years ago, but I've forgotten how. I think I used Box-Mueller. But when I look at the algorithm today, I do not see how it works for a specific mean and standard deviation. Extra credit: It would be ideal if I could use a beta distribution instead of a normal distribution. (That is, I am interested in __both__.) But I have never understood the theory and how to control the shape of the curve using the alpha and beta parameters. And perhaps for that reason, I have never understood how to implement it in C. Again, I played with it some years ago. But I have little memory of what I learned, if anything. Anyway, any turnkey solutions would be appreciated. I don't have much time to spend on this, and I have access to a Unix system for only a short time. TIA. |
#7
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How to use Monte Carlo Simulation in Excel?
BTW, Box-Muller generates N(0,1) variates from U(0,1) variates. N(0,1)*S+m
follows the N(m,S^2) distribution. http://en.wikipedia.org/wiki/Box-Muller_transform Jerry " wrote: On Jun 1, 9:26 am, Lars-Ã…ke Aspelin wrote: http://office.microsoft.com/en-us/ex...118931033.aspx Great pointer! Going a little off-topic, but hopefully finding some interest among readers of this thread.... Can anyone provide VB code that demonstrates how to generate random data in a normal distribution with known (sampling) mean and standard deviation __without__ relying on Excel features such as NORMINV()? I do not want to rely on Excel features because I actually want to translate the solution into C. (For a Unix system, not Windows.) I did this a few years ago, but I've forgotten how. I think I used Box-Mueller. But when I look at the algorithm today, I do not see how it works for a specific mean and standard deviation. Extra credit: It would be ideal if I could use a beta distribution instead of a normal distribution. (That is, I am interested in __both__.) But I have never understood the theory and how to control the shape of the curve using the alpha and beta parameters. And perhaps for that reason, I have never understood how to implement it in C. Again, I played with it some years ago. But I have little memory of what I learned, if anything. Anyway, any turnkey solutions would be appreciated. I don't have much time to spend on this, and I have access to a Unix system for only a short time. TIA. |
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