Monte Carlo simulation

Model is representation of a world, usually system of equations (linear, non linear, differential, ...)

Figure 1: Shematisation of a model with three component input vector X=[x1,x2,x3], and two component output vector Y=[y1,y2]

Two ways for developing a model (world replication):

  • Deterministic - simpler, only for exact and precise numbers, always the same result
  • Stochastic - more complicated, inputs are PDFs, intervals, fuzzy sets or else, there is probability of result (it is rarely the same)

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