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https://designers-guide.org/forum/YaBB.pl Simulators >> Circuit Simulators >> number of runs in Monte carlo simulation https://designers-guide.org/forum/YaBB.pl?num=1234262422 Message started by filipe on Feb 10th, 2009, 2:40am |
Title: number of runs in Monte carlo simulation Post by filipe on Feb 10th, 2009, 2:40am Hi, How to estimate the minimum number of runs in a Monte carlo simulation??? I heard that this estimation can be calculated based on the central limit theorem. Thanks Filipe |
Title: Re: number of runs in Monte carlo simulation Post by boe on Feb 10th, 2009, 3:59am Hi Filipe, sigma/sqrt(N) is a measure for the accuracy of the average because averaging N normally distributed random variables reduces the standard deviation by a factor of sqrt(N). [Edit: derived from Central limit theorem] BOE |
Title: Re: number of runs in Monte carlo simulation Post by vivkr on Feb 12th, 2009, 12:16am Maybe a more concrete number for you. Typically, we are trying to estimate the moments of the distribution for a given parameter (mean and standard deviation) within a certain confidence level. As a benchmark, 100 runs of Monte Carlo will typically give +/-2% accuracy in estimation of mean, and +/- 14% accuracy in estimation of the standard deviation. Doubling the number of runs will improve the accuracy by sqrt(2). Best regards, Vivek |
Title: Re: number of runs in Monte carlo simulation Post by Andrew Beckett on Feb 12th, 2009, 1:20pm Note also that spectre supports "Latin Hypercube Sampling" these days which tends to converge the standard deviation with fewer samples http://en.wikipedia.org/wiki/Latin_hypercube. Regards, Andrew. |
Title: Re: number of runs in Monte carlo simulation Post by filipe on Feb 16th, 2009, 10:31am Vivkr, This is exactly my question. How can I calculate the accuracy of the mean and standard deviation? When can I find an explanation about it? Thanks a lot Filipe vivkr wrote on Feb 12th, 2009, 12:16am:
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Title: Re: number of runs in Monte carlo simulation Post by packiaraj on Feb 27th, 2009, 6:09am Filipe, Guess you must have seen this link by now: ::) http://www.financial-risk-manager.com/risks/market/mc_errors.html The expression for error-in-"Mean" that you get from MC sims. BOE has indicated it almost correctly, though it is for only 1Sigma (~68% confidence-level in Normal Distribution). Think we have to add this error-in-"Mean" to actual "Mean" when we say this is my Bandgap-output or Oscillator-frequency accuracy. |
Title: Re: number of runs in Monte carlo simulation Post by analogue_guy on Mar 2nd, 2009, 12:43pm filipe wrote on Feb 16th, 2009, 10:31am:
After running the Monte Carlos and collecting the results you can calculate confidence interval for mean,sigma. One is based on Student-t deviation, the other is based on CHI-SQUARE deviation. You can find more details in every basic statistics books. If you would like, I could look up the equations. Cheers |
Title: Re: number of runs in Monte carlo simulation Post by jiesteve on Mar 19th, 2009, 4:43pm analogue_guy, Could you please send me or post the equations and/or a reference that has this information? I'm also interested. Thanks! |
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