Monte Carlo Simulation

Version 1.0.2 (6.84 KB) by Joe Klebba
A function to generate samples from user-specified distributions and combine them through an arbitrary function.
482 Downloads
Updated 12 Apr 2021

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simulateMC() is a tool to generate samples from user-specified distributions and combine the samples through an arbitrary function. It can also be used as a tool for propagation of uncertainty or just to generate correlated samples.

simulateMC():
• Supports most/all of the distribution types in MATLAB's statistics and machine learning toolbox, including truncated distributions.
• Can generate correlated samples from any combination of distributions via a gaussian copula approach with iterative optimization of correlation parameters
• Supports bootstrapping samples from data
• Supports fitting distributions to data and drawing samples from the fitted distribution
• Supports custom sample inputs
• Finds confidence intervals and computes descriptive statistics
• Allows for visualization of the distributions using histogram plots.

HOW TO USE: Explanations of syntax and simple examples are included in the comments of the function file. More detailed examples can be found in the included file 'simulateMC_examples.m'.

Cite As

Joe Klebba (2024). Monte Carlo Simulation (https://www.mathworks.com/matlabcentral/fileexchange/89882-monte-carlo-simulation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2021a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.2

fix typo in description

1.0.1

Fix typos

1.0.0