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Re: improving speed of simulation using random numbers
Posted:
Nov 16, 2012 2:14 AM


... you do not use Mathematica style for programming.
Better is
Timing[Plus @@ Table[RandomReal[], {i, 1, 50}]]
{0., 25.5969}
Peter
2012/11/15 Peter Klamser <klamser@googlemail.com>
> ... you do not use Mathematica style for programming. > > Better is > > Timing[Plus @@ Table[RandomReal[], {i, 1, 50}]] > > {0., 25.5969} > > Peter > > > 2012/11/15 <felipe.benguria@gmail.com> > > Dear all, >> >> I am trying to compute an expected value using simulation. >> I have a random number x with density function d[x]. I want to compute >> the expected value of function f[x], which is equal to the integral of f[x] >> times >> d[x] over x. >> In my case, it is difficult to compute the integral so I simulate N >> values for x and compute the average of f[x] over all N simulated values. >> >> My problem is that my code takes to long for my purposes: this is a part >> of a larger program and is making it unfeasible in terms of time. >> >> The following code provides an example of the situation, and my question >> is how could I reduce the time this takes. THanks a lot for your help >> >> g[x_]:= x^2 >> >> >> mydensity[myparameter_]:= >> ProbabilityDistribution[myparameter*(t)^(myparameter  1), {t, 1, >> Infinity}] >> >> randomnum[myparameter_] := RandomVariate[draw[myparameter], 50] >> >> >> Timing[Sum[g[randomnum[5][[i]]], {i, 1, 50}]] >> >> Out[1353]= {0.64, 81.7808} >> >> This takes 0.6 seconds in my computer and that is way too long for my >> full program ( I do this many times). >> >> Thanks again, >> Felipe >> >> >



