Monte Carlo simulation

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Monte Carlo simulation is a method for sampling values from a probability distribution and running a model thousands of times. As a result, a distribution is created for the variable of interest. There are several software tools available for this purpose.

Software

Analytica is a Monte Carlo simulation program that has a user-friendly graphical interface. It is a computational tool for predefined risk/decision models where all the relationships have been mathematically defined.

The main properties are

• Monte Carlo simulation for uncertainty propagation
• model structure based on variables and links (similar to DAGs, directed acyclic graphs)
• variable definition using attributes (that are similar to those in the pyrkilo method)
• handling of multidimensional variables in an intelligent way
• hierarchical model structures using modules (i.e. submodels)
• fairly simple file format using XML
• interfaces for importing and exporting data from and to Excel and SQL databases

The main problems include

• not widely used
• commercial program with non-trivial license fees

Discussion on Monte Carlo programs

How to read discussions

Fact discussion: .
Opening statement: What should be the program of choice for Monte Carlo modelling? A) Analytica B) @Risk or Crystal Ball, Monte Carlo simulation programs working as Excel add-ins. C) R, S-Plus, Matlab, or other statistical program allowing for simulation D) GoldSim Closing statement: Analytica is the program to start with, but other programs may be used also. (A closing statement, when resolved, should be updated to the main page.)
Argumentation: ←--11: . A) is a good choice. --Jouni 22:11, 11 March 2007 (EET) (type: truth; paradigms: science: defence) ←--12: . We have a lot experience in Analytica, and it has several very nice features, including influence diagrams, multidimensional variables, and hierachical modelling. --Jouni 22:11, 11 March 2007 (EET) (type: truth; paradigms: science: defence) ←--6: . B) is a good choice. (type: truth; paradigms: science: defence) ⇤--4: . Problems with multidimensional variables --Jouni 10:32, 16 January 2007 (EET) (type: truth; paradigms: science: attack) ⇤--5: . These are not object-oriented programs. --Jouni 10:32, 16 January 2007 (EET) (type: truth; paradigms: science: attack) ←--7: . C) is a good choice. --Jouni 20:37, 8 March 2007 (EET) (type: truth; paradigms: science: defence) ←--2: . Some of these have properties that are not in Analytica and could be used as an alternative. --Jouni 10:32, 16 January 2007 (EET) (type: truth; paradigms: science: defence) ←--3: . R is an open-source program and free of charge. --Jouni 10:32, 16 January 2007 (EET) (type: truth; paradigms: science: defence) ←--8: . D) is a good choice. --Jouni 22:11, 11 March 2007 (EET) (type: truth; paradigms: science: defence) ←--9: . According to the website, GoldSim has many of the same good properties as Analytica. --Jouni 22:11, 11 March 2007 (EET) (type: truth; paradigms: science: defence) ⇤--10: . There is no experience about this program within Inaterese (at least to my knowledge). --Jouni 22:11, 11 March 2007 (EET) (type: truth; paradigms: science: attack)