'\"
'\" Generated from file 'montecarlo\&.man' by tcllib/doctools with format 'nroff'
'\" Copyright (c) 2008 Arjen Markus <arjenmarkus@users\&.sourceforge\&.net>
'\"
.TH "simulation::montecarlo" n 0\&.2 tcllib "Tcl Simulation Tools"
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.SH NAME
simulation::montecarlo \- Monte Carlo simulations
.SH SYNOPSIS
package require \fBTcl ?8\&.5 9?\fR
.sp
package require \fBsimulation::montecarlo 0\&.2\fR
.sp
package require \fBsimulation::random\fR
.sp
package require \fBmath::statistics\fR
.sp
\fB::simulation::montecarlo::getOption\fR \fIkeyword\fR
.sp
\fB::simulation::montecarlo::hasOption\fR \fIkeyword\fR
.sp
\fB::simulation::montecarlo::setOption\fR \fIkeyword\fR \fIvalue\fR
.sp
\fB::simulation::montecarlo::setTrialResult\fR \fIvalues\fR
.sp
\fB::simulation::montecarlo::setExpResult\fR \fIvalues\fR
.sp
\fB::simulation::montecarlo::getTrialResults\fR
.sp
\fB::simulation::montecarlo::getExpResult\fR
.sp
\fB::simulation::montecarlo::transposeData\fR \fIvalues\fR
.sp
\fB::simulation::montecarlo::integral2D\fR \fI\&.\&.\&.\fR
.sp
\fB::simulation::montecarlo::singleExperiment\fR \fIargs\fR
.sp
.BE
.SH DESCRIPTION
.PP
The technique of \fIMonte Carlo simulations\fR is basically simple:
.IP \(bu
generate random values for one or more parameters\&.
.IP \(bu
evaluate the model of some system you are interested in and record the
interesting results for each realisation of these parameters\&.
.IP \(bu
after a suitable number of such trials, deduce an overall characteristic
of the model\&.
.PP
You can think of a model of a network of computers, an ecosystem of some
kind or in fact anything that can be quantitatively described and has
some stochastic element in it\&.
.PP
The package \fIsimulation::montecarlo\fR offers a basic framework for
such a modelling technique:
.CS


#
# MC experiments:
# Determine the mean and median of a set of points and compare them
#
::simulation::montecarlo::singleExperiment -init {
    package require math::statistics

    set prng [::simulation::random::prng_Normal 0\&.0 1\&.0]
} -loop {
    set numbers {}
    for { set i 0 } { $i < [getOption samples] } { incr i } {
        lappend numbers [$prng]
    }
    set mean   [::math::statistics::mean $numbers]
    set median [::math::statistics::median $numbers] ;# ? Exists?
    setTrialResult [list $mean $median]
} -final {
    set result [getTrialResults]
    set means   {}
    set medians {}
    foreach r $result {
        foreach {m M} $r break
        lappend means   $m
        lappend medians $M
    }
    puts [getOption reportfile] "Correlation: [::math::statistics::corr $means $medians]"

} -trials 100 -samples 10 -verbose 1 -columns {Mean Median}

.CE
This example attemps to find out how well the median value and the mean
value of a random set of numbers correlate\&. Sometimes a median value is
a more robust characteristic than a mean value - especially if you have
a statistical distribution with "fat" tails\&.
.SH PROCEDURES
The package defines the following auxiliary procedures:
.TP
\fB::simulation::montecarlo::getOption\fR \fIkeyword\fR
Get the value of an option given as part of the \fIsingleExperiment\fR command\&.
.RS
.TP
string \fIkeyword\fR
Given keyword (without leading minus)
.RE
.sp
.TP
\fB::simulation::montecarlo::hasOption\fR \fIkeyword\fR
Returns 1 if the option is available, 0 if not\&.
.RS
.TP
string \fIkeyword\fR
Given keyword (without leading minus)
.RE
.sp
.TP
\fB::simulation::montecarlo::setOption\fR \fIkeyword\fR \fIvalue\fR
Set the value of the given option\&.
.RS
.TP
string \fIkeyword\fR
Given keyword (without leading minus)
.TP
string \fIvalue\fR
(New) value for the option
.RE
.sp
.TP
\fB::simulation::montecarlo::setTrialResult\fR \fIvalues\fR
Store the results of the trial for later analysis
.RS
.TP
list \fIvalues\fR
List of values to be stored
.RE
.sp
.TP
\fB::simulation::montecarlo::setExpResult\fR \fIvalues\fR
Set the results of the entire experiment (typically used in the final
phase)\&.
.RS
.TP
list \fIvalues\fR
List of values to be stored
.RE
.sp
.TP
\fB::simulation::montecarlo::getTrialResults\fR
Get the results of all individual trials for analysis (typically used in
the final phase or after completion of the command)\&.
.sp
.TP
\fB::simulation::montecarlo::getExpResult\fR
Get the results of the entire experiment (typically used in the final
phase or even after completion of the \fIsingleExperiment\fR command)\&.
.sp
.TP
\fB::simulation::montecarlo::transposeData\fR \fIvalues\fR
Interchange columns and rows of a list of lists and return the result\&.
.RS
.TP
list \fIvalues\fR
List of lists of values
.RE
.PP
There are two main procedures: \fIintegral2D\fR and \fIsingleExperiment\fR\&.
.TP
\fB::simulation::montecarlo::integral2D\fR \fI\&.\&.\&.\fR
Integrate a function over a two-dimensional region using a Monte Carlo
approach\&.
.sp
Arguments PM
.sp
.TP
\fB::simulation::montecarlo::singleExperiment\fR \fIargs\fR
Iterate code over a number of trials and store the results\&. The
iteration is gouverned by parameters given via a list of
keyword-value pairs\&.
.RS
.TP
int \fIn\fR
List of keyword-value pairs, all of which are available
during the execution via the \fIgetOption\fR command\&.
.RE
.PP
The \fIsingleExperiment\fR command predefines the following
options:
.IP \(bu
\fI-init code\fR: code to be run at start up
.IP \(bu
\fI-loop body\fR: body of code that defines the computation to
be run time and again\&. The code should use \fIsetTrialResult\fR
to store the results of each trial (typically a list of numbers,
but the interpretation is up to the implementation)\&. Note: Required keyword\&.
.IP \(bu
\fI-final code\fR: code to be run at the end
.IP \(bu
\fI-trials n\fR: number of trials in the experiment (required)
.IP \(bu
\fI-reportfile file\fR: opened file to send the output to (default: stdout)
.IP \(bu
\fI-verbose\fR: write the intermediate results (1) or not (0) (default: 0)
.IP \(bu
\fI-analysis proc\fR: either "none" (no automatic analysis), standard
(basic statistics of the trial results and a correlation matrix) or the
name of a procedure that will take care of the analysis\&.
.IP \(bu
\fI-columns list\fR: list of column names, useful for verbose output
and the analysis
.PP
Any other options can be used via the getOption procedure
in the body\&.
.SH TIPS
The procedure \fIsingleExperiment\fR works by constructing a
temporary procedure that does the actual work\&. It loops for the given
number of trials\&.
.PP
As it constructs a temporary procedure, local variables defined at the
start continue to exist in the loop\&.
.SH KEYWORDS
math, montecarlo simulation, stochastic modelling
.SH CATEGORY
Mathematics
.SH COPYRIGHT
.nf
Copyright (c) 2008 Arjen Markus <arjenmarkus@users\&.sourceforge\&.net>

.fi
