Monte Carlo Simulation

A function to generate samples from user-specified distributions and combine them through an arbitrary function.

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'.