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Sampling Methods
Risk Solver Engine can generate Monte
Carlo samples from a wide range of probability
distributions, using any of three methods:
 | Standard Monte Carlo |
| Latin Hypercube |
| Sobol Numbers |
Sobol numbers are an innovation in Risk
Solver Engine that's not found in other software for Monte
Carlo simulation. They are widely used by developers in
quantitative finance. For low to moderate dimensional
problems, Sobol numbers offer the "best of both worlds" --
the speed of Standard Monte Carlo with the "coverage" of
Latin Hypercube sampling.
Risk Solver Engine provides both a complete set of
analytic probability distributions, and a complete set of methods
for defining custom distributions, both discrete and continuous,
by supplying sample data or by specifying certain parameters.
And you can specify shifting and truncation to customize your
probability distributions.
Continuous Analytic Distributions
| PsiBeta |
PsiLaplace |
PsiPareto2 |
| PsiBetaGen |
PsiLogistic |
PsiPearson5 |
| PsiBetaSubj |
PsiLogLogistic |
PsiPearson6 |
| PsiCauchy |
PsiLogNormal |
PsiPert |
| PsiChiSquare |
PsiLogNorm2 |
PsiRayleigh |
| PsiErf |
PsiMaxExtreme |
PsiStudent |
| PsiErlang |
PsiMinExtreme |
PsiTriangGen |
| PsiExponential |
PsiMyerson |
PsiTriangular |
| PsiGamma |
PsiNormal |
PsiUniform |
| PsiInvNormal |
PsiPareto |
PsiWeibull |
Discrete Analytic Distributions
| PsiBernoulli |
PsiHyperCeo |
PsiNegBinomial |
| PsiBinomial |
PsiIntUniform |
PsiPoisson |
| PsiGeometric |
PsiLogarithmic |
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Custom and Special Distributions
| PsiCumul |
PsiHistogram |
PsiShuffle |
| PsiDiscrete |
PsiMVLogNormal |
PsiSip |
| PsiDisUniform |
PsiMVNormal |
PsiSlurp |
| PsiGeneral |
PsiResample |
PsiCertified |
If you are programming in Excel VBA, you can easily create an instance of a
Distribution object, with the properties of any of these probability
distributions. By simply accessing properties of this object,
you can obtain the probability density (PDF) or cumulative density (CDF)
function, or analytic values for the moments of the distribution,
based on its type and parameters.
Back to Risk Solver Engine Product
Overview
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