Question

如何使用MATLAB进行蒙特卡洛模拟 小小知识站

Answer 1

贴一个蒙特卡洛方法的matlab程序，供大家使用。 {3 x& K/ i1 i( D8 C0 c$ O % Example Monte Carlo Simulation in Matlab 0 O5 \; P" t# t7 v8 c& @ % Function: y = x2^2/x1 5 Z0 W4 e9 q, d5 B+ c % % Generate n samples from a normal distribution 4 s! c6 y, I6 H" d) K+ v. Y; X: Q % r = ( randn(n,1) * sd ) + mu 4 U F* Q) t, T# q* w/ K' Q % mu : mean / E( P8 U" c* o! G8 s/ x % sd : standard deviation % % Generate n samples from a uniform distribution 2 u# ^& K. [0 z% F) @1 y % r = a + rand(n,1) * (b-a) - D+ }& U$ w- M9 @& Q9 W, Z % a : minimum % b : maximum n = 100000; % The number of function evaluations 7 x5 a" @- F& O- Z; w5 j % --- Generate vectors of random inputs ! K& x0 ^# X+ q( V6 { % x1 ~ Normal distribution N(mean=100,sd=5) % x2 ~ Uniform distribution U(a=5,b=15) x1 = ( randn(n,1) * 5 ) + 100; 2 B' l3 n) V) D$ ~ x2 = 5 + rand(n,1) * ( 15 - 5 ); \: O: Y( w3 [9 d: V4 r( k4 { % --- Run the simulation % Note the use of element-wise multiplication - ~% x$ `7 A6 v9 R* F y = x2.^2 ./ x1; ' g$ O7 U; R* F% ` % --- Create a histogram of the results (50 bins) hist(y,50); / M9 m+ s( [* w" J2 I% s/ X % --- Calculate summary statistics y_mean = mean(y) y_std = std(y) ; R7 A2 y M/ T" p, h* m y_median = median(y)