NESC0879 SAMPLE.

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

NAME OR DESIGNATION OF PROGRAM, COMPUTER, DESCRIPTION OF PROBLEM OR FUNCTION, METHOD OF SOLUTION, RESTRICTIONS ON THE COMPLEXITY OF THE PROBLEM, TYPICAL RUNNING TIME, UNUSUAL FEATURES OF THE PROGRAM, RELATED AND AUXILIARY PROGRAMS, STATUS, REFERENCES, MACHINE REQUIREMENTS, LANGUAGE, OPERATING SYSTEM UNDER WHICH PROGRAM IS EXECUTED, OTHER PROGRAMMING OR OPERATING INFORMATION OR RESTRICTIONS, NAME AND ESTABLISHMENT OF AUTHOR, MATERIAL, CATEGORIES

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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.