1 / 8

SIMULATION EXAMPLES

SIMULATION EXAMPLES. MONTECARLO (STATIC) SIMULATIONS. Examples. Monte-Carlo (Static) Simulation Estimating profit on a sale promotion Newsvendor problem Estimating p value Approximating integrals. Profit on a Sale Promotion. Furniture Store Unit cost: $175

zarek
Télécharger la présentation

SIMULATION EXAMPLES

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. SIMULATION EXAMPLES MONTECARLO (STATIC) SIMULATIONS

  2. Examples • Monte-Carlo (Static) Simulation • Estimating profit on a sale promotion • Newsvendor problem • Estimating p value • Approximating integrals

  3. Profit on a Sale Promotion Furniture Store • Unit cost: $175 • Demand distribution : TRIA(500, 2000, 3500) • Unit price distribution : UNIF(200, 300) • 50% off sale • Determine the order amount for maximizing profit. • Estimating profit on a sale promotion

  4. Newsvendor Problem • Wholesale price : $0.55 • Retail price : $1.00 • Scrap price : $0.03 • Demand distribution : NORM(135.7, 27.1) • Determine the order amount for maximizing profit • Newsvendor Problem

  5. Estimating p value X, Y ~ uniform (0,1) Estimate p value by simulation 1 p/4 1 0

  6. Convergence to p

  7. Approximating Integrals Consider the integral Making the substitution we get where

  8. Approximating Integrals Let Y ~ uniform(0,1) Approximate the integral by simulation

More Related