Lesson 17: Monte Carlo Simulation

April 6, 2017

Thu, Apr 6

Review:

• Linear Regression in Python
• Tutoring Available for Python in HSB 121
  • Mon 11-5
  • Tue 12-1, 2:30-5
  • Thu 2:30-5

Presentation:

• Monte Carlo Simulation
  • Overview (by solver.com)
  • Tutorial (by pythonprogramming.net)

• Sample Code

Assignment:

• Create a simple Monte Carlo Simulation with Python
• Simulate a simple Dice Game:
  • Roll 2-7, lose
  • Roll 8-12, win
  • Start with $100
    • bet $1 per roll (win pays $1, loss takes $1 bet)
    • roll 100 times and find ending balance (could be negative)
    • simulate 100 outcomes (10,000 total rolls of the dice)
  • Report the mean, median, and standard deviation of your final balances
  • Repeat using 1,000 rolls per outcome (100,000 total rolls of the dice) and report the mean, median and standard deviation of final outcomes