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NESC0879 SAMPLE.

SAMPLE, Mean and Standard Deviation and Probability of Given Function by Monte-Carlo

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1. NAME OR DESIGNATION OF PROGRAM:  SAMPLE.
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2. COMPUTERS
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Program name Package id Status Status date
SAMPLE NESC0879/01 Tested 24-FEB-1981

Machines used:

Package ID Orig. computer Test computer
NESC0879/01 IBM 3033 IBM 3033
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3. DESCRIPTION OF PROBLEM OR FUNCTION

The SAMPLE program uses Monte Carlo simulation to compute the mean, standard deviation, probabi- lity range, and distribution for the function y=f(x(1), x(2), ...x (k)) given that the distributions of x(1), x(2), ...x(k) are known and the functional dependence of y on the x's is known.
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4. METHOD OF SOLUTION

The program repeatedly samples from the inde- pendent variable distributions and for each sample computes the cor- responding value of the dependent variable y as defined by the user- supplied FORTRAN function. The sampling is repeated n times with n determined by the user. The resulting values of y are sorted in as-  cending order to obtain the percentiles of the distribution of y.
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5. RESTRICTIONS ON THE COMPLEXITY OF THE PROBLEM

The program permits  normal, log-normal, and log-uniform distribution types to be speci-  fied for the input variables, and all of the input variables must have the same distribution type. Other distribution types and changes allowing each variable to have any of the distribution types could easily to added.
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6. TYPICAL RUNNING TIME

The sample problems compiled and executed by  NESC took less than 10 CPU seconds on an IBM3033.
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7. UNUSUAL FEATURES OF THE PROGRAM

The program is designed to process multiple functions in sequence during a single computer run.
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8. RELATED AND AUXILIARY PROGRAMS:
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9. STATUS
Package ID Status date Status
NESC0879/01 24-FEB-1981 Tested at NEADB
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10. REFERENCES

Description of the SAMPLE Code, NRC Office of Nuclear Regulator
Research Memorandum, March 11, 1980.
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11. MACHINE REQUIREMENTS:  140K bytes were required to execute the sample probem.
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12. PROGRAMMING LANGUAGE(S) USED
Package ID Computer language
NESC0879/01 FORTRAN-IV
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13. OPERATING SYSTEM UNDER WHICH PROGRAM IS EXECUTED:  OS/360,370.
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14. OTHER PROGRAMMING OR OPERATING INFORMATION OR RESTRICTIONS:  Logical unit 1 is used for input.
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15. NAME AND ESTABLISHMENT OF AUTHOR

F.F. Goldberg
Probabilistic Analysis Staff
Office of Nuclear Regulator Research
U.S. Nuclear Regulatory Commission
Washington, D.C. 20555
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16. MATERIAL AVAILABLE
NESC0879/01
File name File description Records
NESC0879_01.002 INFORMATION 28
NESC0879_01.003 SOURCE (F4,EBCDIC) 308
NESC0879_01.004 INPUT DATA FOR S.P. 17
NESC0879_01.005 PRINTED OUTPUT OF S.P. 376
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17. CATEGORIES
  • P. General Mathematical and Computing System Routines

Keywords: Monte Carlo method, distribution functions, simulation, statistics.