Monte Carlo Question
Monte Carlo Question
(OP)
I work with optical designers and as one of the checks for expected performance they perform a monte carlo simulation of the system they are designing.
Normally these systems have a fair number of variables that are being simulated (usually ~100) simultaneously. Each one is changed, within bounds, and the system performance is evaluated. Because of the amount of time it takes to do each run they usually limit the simulation to 100 runs. They insist that this means the error of the predicted performance range is within 1% of the actual.
However I am not so sure since there are so many combinations possible because of the number of variables that 100 runs seems way too small to get a decent confidence. Am I just too paranoid or are they underestimating the number of runs needed?
Any help is appreciated.
Dan
Normally these systems have a fair number of variables that are being simulated (usually ~100) simultaneously. Each one is changed, within bounds, and the system performance is evaluated. Because of the amount of time it takes to do each run they usually limit the simulation to 100 runs. They insist that this means the error of the predicted performance range is within 1% of the actual.
However I am not so sure since there are so many combinations possible because of the number of variables that 100 runs seems way too small to get a decent confidence. Am I just too paranoid or are they underestimating the number of runs needed?
Any help is appreciated.
Dan





RE: Monte Carlo Question
However, your system is probably linear, and you are not trying to identify the interactions and so on, so it may be that you can get away with comparitively few runs.
As a quick check you could run your 100 runs experiements several times (with different sets of random numbers obviously) and see how the predicted performance changes. That is a very robust approach. You would expect a normal ditribution of scores.
Cheers
Greg Locock
SIG:Please see FAQ731-376: Eng-Tips.com Forum Policies for tips on how to make the best use of Eng-Tips.
RE: Monte Carlo Question
A lot depends upon the types of optical systems you are working with. Monochromatic systems are easier than polychromatic. If you do not have to "worry" about stray light analysis, that makes things simpler as well. I disagree with Greg's assertion that the system is probably linear but again it depends on the level of detail necessary. Aberration coefficients are highly non linear and interactions are highly significant.
The devil as they say, is in the details.
Regards,
RE: Monte Carlo Question
TTFN
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RE: Monte Carlo Question
At least now I know that I am not being too paranoid in doubting this.
Thanks everyone.
Dan
RE: Monte Carlo Question
Split each set of 100 runs in two lots of 50. Do they agree with each other?
Cheers
Greg Locock
SIG:Please see FAQ731-376: Eng-Tips.com Forum Policies for tips on how to make the best use of Eng-Tips.
RE: Monte Carlo Question