Lecture 17 - Simulation in Excel 2

Lecture 17 - Simulation in Excel 2 - 1 Lecture 17...

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Unformatted text preview: 1 Lecture 17 Simulation in Excel DADSS 2 Administrative Details Homework 7 Due Today Questions from last class? 3 Non-Uniform Randomness Probability distributions other than uniform [0,1] Most uncertainties are not uniform! Some outcomes are more or less likely than others Using the RAND() function in Excel, we can generate random variables from other distributions in two ways With Excel Functions With inverted probability density functions 4 Excel Distribution Functions Excel includes built-in functions for several distributions other than uniform Normal Lognormal Chi-Squared (Snedecors) F Students t Gamma Binomial Beta See handout and spreadsheet on Blackboard 5 Distributions By Hand You can manually generate random variables with another distribution from RAND() by inverting the probability density function of any arbitrary distribution This will be important for the exam! 6 Inverting a PDF Distinguishing f ( x ) and F ( x ) Probability Density Function f ( x ) = probability of realizing x Pr( z = x ) Cumulative Distribution Function F ( x ) = probability of realizing a value less than or equal to x Pr( z x ) Probability Density Function 0.00 0.05 0.10 0.15 0.20 0.25 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Value Probability(Value) Cumulative Distribution Function 0.00 0.20 0.40 0.60 0.80 1.00 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Value Probability 7 PDFs/Histograms Normal(0, 1) X <= -1.6449 5.0% X <= 1.6449 95.0% 0.00 0.05 0.10 0.15 0.20 0.25 0.30 0.35 0.40 0.45-3...
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This note was uploaded on 09/20/2010 for the course SDS 88223 taught by Professor Fischbeck during the Spring '10 term at Carnegie Mellon.

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Lecture 17 - Simulation in Excel 2 - 1 Lecture 17...

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