Introduction To MONTE CARLO Simulation

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Introduction to
MONTE CARLO
Simulation
Jim Breneman
P&W Fellow, Reliability & Statistics
Export controlled Material March 14, 2007
Unpublished Work - © United Technologies Corporation 2006
Introduction to Monte Carlo Simulation … outline
• Background
• Definition & history of Monte Carlo
Simulation
• Fundamentals of using EXCEL™ for
Monte Carlo simulation
• In-class examples
• Buffon needle problem
• Tolerancing using Monte Carlo Simulation
• Calculating Load
• Monte Carlo simulation of fleet reliability
Jim Breneman
Introduction to Monte Carlo Simulation 860-565-3959
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Simulation
Simulation is a modeling technique in which the cause-

and-effect relationships of a system are captured in a
computer model, which then becomes capable of
generating the same behavior that would occur in the
actual system.
Simulation is a powerful analysis tool that helps make

intelligent and timely decisions in the design and
operation of a system.
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Simulation History (Continued)
• Increased awareness & understanding of technology.

• Increased availability, capability & ease-of-use of
simulation software.
• Increased computer memory
and processing speeds.
• Declining computer
hardware costs.
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The Cliff-hanger..what’s his chance of surviving
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Monte Carlo Simulation Uses
• Manufacturing systems:
The possible permutations and combinations of
workpieces, tools, pallets, transport vehicles, routes,
operations.
• Service systems:
The complexities of customer scheduling, staffing,
resource management, customer flow, and info
processing.
• Design systems:
Variation in stresses, temperatures, mission,
tolerances, flow, pressure drop, material properties.
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Objective
• Apply the basics of Monte Carlo simulation in EXCEL to solve simple

simulation problems.
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Detailed Learning Objectives
The objective of this class is to introduce the Monte Carlo simulation concept, to learn how
to use Monte Carlo simulation in EXCEL, and to learn how to use the results to answer
various engineering questions.
This “Introduction to Monte Carlo” simulation class is ~3 hours in length and has the
following major learning objectives:
1. Understanding Monte Carlo simulation and its uses.

2. How to generate random numbers in EXCEL.
3. How to generate a flow chart for a typical Monte Carlo simulation.
4. Using EXCEL software; how to build a simple Monte Carlo simulation.
5. Introduction to Monte Carlo Simulation with Crystal Ball™
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Example of Monte Carlo simulation link to Standard Work
SDCI/RMS:DP-IN: 97-211
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History of Monte Carlo simulation
• Monte Carlo Simulation is a method that has many

applications and flavors.
• “simulation” refers to the fact that we build an artificial model
of a real system in order to study and understand the
system.
• The “Monte Carlo” part of the name alludes to the
randomness inherent in the analysis.
• The name “Monte Carlo” was coined by [physicist
Nicholas] Metropolis (inspired by [Stanislaw] Ulam's
interest in poker) during the Manhattan Project of
World War II, because of the similarity of statistical
simulation to games of chance, and because the
capital of Monaco was a center for gambling and
similar pursuits
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Why the name Monte Carlo ?
• Consider the fact that the random nature of a game

of chance is designed so that the owners of a casino
can be assured (in the long run) they will make a
profit, while the gambler has a reasonable chance of
winning.
• The random nature of Monte Carlo simulation is
designed so that the statistician can be assured that
in the long run the simulation will approach
equilibrium values, while an individual move has a
realistic chance of taking the simulation away from
equilibrium.
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Monte Carlo Simulation...Definition
• A simple, fast, intriguing, educational method for

solving stochastic (random) system problems.
• Application: Any system or situation with some random

variables, i.e. production lines, tolerancing, instrumentation
data handling, test schedules, bus schedules, trimming
controls, waiting lines, etc.
• The more variables, the more randomness, the better

it works.
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Random Numbers
* Sources: Telephone numbers,

Dice,
RAND tables,
Computer programs
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Summarizing so far………
• The Monte Carlo method provides approximate

solutions to a variety of mathematical problems
by performing statistical sampling experiments on
a computer.
• The method applies to problems with no
probabilistic content as well as to those with
inherent probabilistic structure.
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Two types of Monte Carlo Simulation
• Discrete Event simulation - models systems

that change at discrete points in time as a
result of specific events. (e.g. manufacturing
systems, service systems ...barber shops,
banks, cafeterias)
• Continuous simulation - models systems
whose state changes continuously with time
(e.g. LCF, HCF, Stress-rupture, systems of
ODE’s or PDE’s)
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Major Components of a Monte Carlo Simulation
• Probability Density Functions

• Random number generator(s)
• Sampling rule - a prescription for sampling from the specified
pdf’s.
• Description of interrelationships of variables.(usually through
use of the engineering model)
• Scoring (tallying)
• Error estimation - an estimate of the statistical error(variance) as
a function of the number of trials and other quantities.
• Lots of graphs!!!
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How to build a simulator
• Obtain or assume probability distributions
• Program model or computer with random numbers
• Exercise model for 10,000 or 100,000 trials.
• Compare statistical output with reality...ask an expert!!
• Modify model for new change
• Exercise the model.
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Transforming Random Numbers to Random
Variables
• The inverse method is used to generate

random variates from any distribution
or histogram.
Uniform (0,1)
random number
Weibull, Normal, etc. random

variate Jim Breneman
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Generating Pseudo-random Numbers
• One common technique is an iterative technique given

by:
xi+1= [a(xi) + c] (Mod b). i=1,2,...,b
where: xi is the ith pseudo-random number in the
sequence,
xi+1 is the next pseudo-random number
a and b are constants of the form (2m+1) and 2n
c is unity or an odd positive prime number
m and n are positive integers
Mod b means that the quantity in brackets is divided by b
and the remainder is taken for the next value of x.
e.g. [11] (Mod 3)=2
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Generating Pseudo-random Numbers
• Let m=17, n=33, and c=1; then

xi+1= [a(xi) + c] (Mod b)
=[(217+1) xi +1] [Mod 233], i=1,2,...,233
This process generates a total of 233=8,589,934,592
different numbers.
• To obtain random numbers in the range 0 ≤ yi < 1,
each number generated is normalized by dividing by
233
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What makes random numbers random?
• The values of yi should be uniformly

distributed over the interval [0,1).
• Successive values of yi should be
independent.
• No unusual runs up or down.
• Frequency tests
• Poker test
• Gap test
• k’th random number tested with all of the
above Introduction to Monte Carlo Simulation
Jim Breneman
860-565-3959
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Generating Uniform Random Numbers
Most simulation studies involve the generation of random numbers
from a uniform distribution (i.e. where all numbers are
distributed evenly between 0 and 1.
Some methods for doing this is:
1. In EXCEL, use the function rand()
2. In FORTRAN use Ran1, Ran2, Ran3, or gasdev
3. Same routines in C.
Or, if you are stuck on a desert island:
Initialize ISEED, the random number seed (should be a large,
positive, odd integer)... Then each successive random number is:
ISEED=ISEED * 65549
P=0.5 +REAL(ISEED)* 0.2328306E-9
The values of P are uniformly distributed between 0 and 1.

NOTE: This procedure can be used on a system where the largest
integer allowable is 231-1.
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Comments on RAND()
• The RAND function in versions of Excel <2003 used a pseudo-random number

generation algorithm whose performance on standard tests of randomness(see
http://www.csis.hku.hk/~diehard) was miserable. Luckily it only affected users
who made a large number of calls to RAND, such as a million or more.
• The following pseudo-random number generation algorithm was first
implemented for Excel 2003. It passes these same tests of randomness with
flying colors. The algorithm was developed by B.A. Wichman and I.D. Hill*.
The basic idea is that if you take three random numbers on [0,1] and sum them, the fractional part of the sum is itself a random number
on [0,1]. The statements in the Fortran code listing from the original Wichman and Hill article are:
C IX, IY, IZ SHOULD BE SET TO INTEGER VALUES BETWEEN 1 AND 30000 BEFORE FIRST ENTRY
IX = MOD(171 * IX, 30269)
IY = MOD(172 * IY, 30307)
IZ = MOD(170 * IZ, 30323)
RANDOM = AMOD(FLOAT(IX) / 30269.0 + FLOAT(IY) / 30307.0 + FLOAT(IZ) / 30323.0, 1.0)
*Wichman, B.A. and I.D. Hill, Algorithm AS 183: An Efficient and Portable Pseudo-Random Number Generator, Applied Statistics, 31, 188-190, 1982.
Cycle =10^13
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Results of Uniform Random Number Generator
Histogram Uniform Random Numbers

120
100
frequency
80
60
40
20
0
0 0.2 0.4 0.6 0.8 1
Uniform Random Numbers
A statistical “Goodness-of-fit” test shows that these 1000 random

numbers are probably Uniform
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The CDF Method...Weibull case
Recall that F(x) is the CDF (cumulative Distribution Function) of a

statistical distribution.
If F(x)=p, solve for x in terms of p and generate uniform (0,1) values
for
p and calculate x.
For example, the Weibull CDF is given by:
− (x /η )β
p = F (x ) = 1 − e
solving for x in terms of p:
1 1/ β
x = η (ln )
1− p
If p is a uniform (0,1) random number, then x is a random number

from a Weibull (β,η) distribution.
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The CDF Method...Normal case
While the Weibull CDF is invertible, the Normal CDF is not, so a rational
polynomial approximation can be used to convert uniform random
deviates to normal random deviates.
(Typical of what software packages use)
z=t-(2.515517+.802853*t+.010328*t^2)/
(1+1.432788*t+.189269*t^2+.001308*t^3)
where t=sqrt(ln(1/p^2)), where p is the uniform random deviate.
z is the standard deviation units from the mean (in standardized normal
units). To convert this to a random normal variate x with mean
µ and standard deviation σ, remember that z=(x-µ)/σ, so
x=z*σ+µ.
But, there are many other ways to generate normal random deviates.
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Random Number Generation in Excel
• =RAND() returns a uniform random number between 0 and 1.

• Can be transformed to generate numbers for other intervals:
• =10*RAND() generates a random number between 0 and 10
• =5+2*RAND() generates a random number between 5 and 7
• =x+(y-x)*RAND() generates a random number between x and y
(All numbers in these examples are, of course, equally likely)
• =NORMINV(RAND(),x,y) returns a random variable that is normally
distributed with mean x and standard deviation y.
• =LOGINV(RAND(),log_µ,log_σ) returns a random variable that is
lognormally distributed with mean log_µ, standard deviation log_σ.
• =η*(LN(1./(1-RAND()))^(1/β)) returns a Weibull random number
with slope β and characteristic life η.
• =IF(RND<(MO-LO)/(HI-LO),LO+SQRT((MO-LO)*(HI-LO)*RND),HI-
SQRT((HI-MO)*(HI-LO)*(1-RND))) gives a triangular distribution,
where HI is rightmost point of the triangle, LO is the leftmost
point, and MO is the modal or topmost point.
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Examples of random number generation in EXCEL
Normal Distribution: Mean 10, Std Dev 2. Lognormal: Log mean=2,Log Std Dev=.3
200 160
160
frequency
120
frequency
120
80
80
40 40
0 0
0 3 6 9 12 15 18 0 3 6 9 12 15 18
Value Value
Weibull: Beta=3, Eta=1000 Triangular:

Histogram ofLO=2, MO=3,
Triangular HI=5
Distribution
120
100
100
80
frequency
frequency
80
60
60
40 40
20 20
0 0
0 0.4 0.8 1.2 1.6 2 2 2.5 3 3.5 4 4.5 5
(X 1000)
Value Value
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EXCEL
Generating Random numbers in EXCEL
• Generate the sum of the four random

variables:
• A=Normal(100,10)
• B=Weibull(3.,120.)
• C=Uniform(50,100)
• D=Triangular(25,50,100)
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Buffon’s Needle Problem
1707-1788
• Buffon's Needle is one of the oldest problems
in the field of geometrical probability. It was
first stated in 1777. It involves dropping a
needle on a lined sheet of paper and
determining the probability of the needle
crossing one of the lines on the page. The
remarkable result is that the probability is
directly related to the value of pi.
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Buffon Needle… simplest case
• In this case, the length of the needle is one unit and the distance
between the lines is also one unit. There are two variables, the angle at
which the needle falls (theta) and the distance from the center of the
needle to the closest line (D). Theta can vary from 0 to 180 degrees
and is measured against a line parallel to the lines on the paper. The
distance from the center to the closest line can never be more that half
the distance between the lines.
• The needle in the picture misses the line. The needle will hit the line if
the closest distance to a line (D) is less than or equal to 1/2 times the
sine of theta. That is, D ≤ (1/2)sin(theta). How often will this occur? Jim Breneman
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Buffon Needle… simplest case
• Plot Distance D vs (1/2)sine(theta). The values on or below the curve

represent a hit (D <= (1/2)sin(theta)). Thus, the probability of a success is the
ratio of the shaded area to the entire rectangle. What is this value?
• The shaded portion is found by using the definite integral of (1/2)sin(theta)

evaluated from zero to pi. The result is that the shaded portion has a value of
1. The value of the entire rectangle is (1/2)(pi) or pi/2. So, the probability of a
hit is 1/(pi/2) or 2/pi. That's approximately .6366197.
• To calculate pi from the needle drops, simply take the number of drops and
multiply it by two, then divide by the number of hits, or
2(total drops)/(number of hits) = pi (approximately).
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EXCEL
Buffon needle simulation outline using EXCEL™
1. Generate a random angle θ (0 το 180°)

2. Generate a random distance D between 0 and
1.Divide by 2.
3. Generate the distance to the line, dist as
(1/2)sin(θ). Remember, θ should be in radians.
4. Is D£ (1/2)sin(θ)? If it is, call it a “hit.”
5. Repeat 1-4 1,000 times
6. Calculate PI=(Number iterations*2/Number of hits)
7. Using EXCEL, build this simulator.
8. Increase the iterations to 5,000, 10,000. How much
better do your estimates of PI get?
9. Do multiple runs and average your results. Better
estimates?
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Example: generate discrete r.v.
• Suppose monthly demand follows the

following distribution (pmf)
Demand (x) p(x)
5 0.10
20 0.40
30 0.30
50 0.20
We want to generate 12 random demands
(may be for next 12 months). How?
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Example: generate discrete random variable(r.v.)
Demand (x) p(x) F(x)
5 0.1 0.1
Step 1: Find CDF 20 0.4 0.5
30 0.3 0.8
50 0.2 1
F(x)
0.8
Step 2: Generate
random number, u 0.5
0.1
Step 3: Locate 0 x
5 20 30 50
r.v. x
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Example: generate discrete random variable(r.v.)
• The Inverse Transformation Method (Steps 2 &

3) Essentially Establishes a Relationship
between Random Number Range and
Corresponding Demand
Demand 5 20 30 50
Rand # 0 0.1 0.5 0.8 1
• What is the probability that a random number will be

in range [0, 0.1], [0.1, 0.5], [0.5, 0.8], or [0.8, 1]?
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Random number range Demand (x)
0 - 0.1 5
0.1 - 0.5 20
0.5 - 0.8 30
0.8 - 1.0 50
Replication Random numbers Demand
1 0.76269 30
2 0.93813 50
3 0.57897 30
4 0.25200 20
5 0.14009 20
6 0.98889 50
7 0.07436 5
8 0.47831 20
9 0.66928 30
10 0.19625 20
11 0.55519 30
12 0.45593 20 Jim Breneman
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Generating Discrete r.v. in Excel
• First, find cumulative distribution of the r.v.

• Second, generate random numbers by
“RAND()”
• Finally, use VLOOKUP function
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EXCEL
Generating Discrete r.v. in Excel
2
3 Random number range Demand
4 0 0.1 5
5 0.1 0.5 20
6 0.5 0.8 30
7 0.8 1 50
8
9 Random number Outcome
10 0.474424547 20 The range A4:C7 has Values
11 0.713128343 30 needed
12 0.844783096 50
13 0.826109451 50
14 0.432246824 20
15 0.307382727 20
16 0.01709212 5
17
18
A B C D E F G
9 Random number Outcome
The second column in the Table range
10 =RAND() =VLOOKUP(A10,A4:C7,3) (A4:C7) is not necessary. Without it
11 =RAND() =VLOOKUP(A10,A4:C7,3) (only two columns in the TABLE
12 =RAND() =VLOOKUP(A10,A4:C7,3) range), the VLOOKUP function will be
13 =RAND() =VLOOKUP(A10,A4:C7,3) VLOOKUP(A10,A4:B7,2)
14 =RAND() =VLOOKUP(A10,A4:C7,3)
15 =RAND() =VLOOKUP(A10,A4:C7,3)
16 =RAND() =VLOOKUP(A10,A4:C7,3) Jim Breneman
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Comparison of Analytical vs Monte Carlo Modeling
Analytical Monte Carlo

a. Gives exact results (given a. Very flexible. There is
the assumptions of the model). virtually no limit to the type of
b. Once the model is analyses. Empirical
developed, output is rapidly distributions can be used.
obtained. b. Can be easily extended and
Advantages c. It need not always be developed as required.
implemented on a computer, c. Easily understood by non-
paper analyses may suffice. mathematicians
a. Generally requires a. Calculations can take longer

restrictive assumptions to than analytical models.
make problem tractable. b. Solutions are not exact but
b. Because of a. it is less depend on the number of
flexible than Monte Carlo. repeated runs used to produce
Disadvantages c. Model may only be the output statistics; that is, all
understood by outputs are ‘estimates.’
mathematicians. This may
cause credibility problems if
output conflicts with
preconceived ideas of
designers and management.
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One More Thing: Simulation vs Optimization
• In an optimization model, the decision

variables are outputs.
• The model produces the values for the decision
variables that optimize the objective function.
• In Monte Carlo simulation, the decision
variables are inputs.
• The model uses the values that we provide for
the decision variable to compute the Objective
Function.
• Objective function is output !
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Monte Carlo in-class work
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Monte Carlo Tolerancing
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Three kinds of Tolerancing
• Worst case-- use the worst side of each dimension in

a tolerance stack
• Ideal case-- sometimes called RMS or RSS method,
assume each dimensional tolerance is + or - 2σ(or
3σ), then calculate the overall tolerance of the dimensional
stack as:
Overall tolerance = ( x1 ) 2 + ( x2 ) 2 + ... + ( xn ) 2
• Realistic case -- each dimension has its own distribution,
normal, log-normal, uniform, triangular, etc….. Must use
Monte Carlo simulation to solve this case.
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Tolerancing using Monte Carlo Simulation
• TF30 9th Compressor Disk: minimum thread engagement

of TF30-P100 9th stage LPC tierod & nut.
X2
X5
X4 Blueprint dimensions:
X1 Spacer .095”-.105”
X2 Disk .179”-.183”
X3 Key washer .027”-.0295”
X4 Tierod .345”-.375”
X1 X5 Tierod nut .050”-.070”
X3
Interference occurs when X1+X2+X3-X4+X5<0
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Options for Tolerancing
• Assume that the dimensions are either

1. “Worst case”
2. normally distributed and that the blueprint limits are the
upper and lower 3σ bounds.
3. uniformly distributed and that the blueprint limits are the
upper and lower bounds.
Or,
Use more realistic distributions that estimate the individual
tolerances, based on prior knowledge.
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Case 1:Tolerancing using “Worst Case”
The probability of interference is the probability that

X1+X2+X3-X4+X5<0
PART Limits Average “Worst Case”

Spacer(X1) .095-.105 .100 .095
Disk(X2) .179-.183 .181 .179
Key Washer(X3) .027-.0295 .02825 .027
Tierod(X4) .345-.375 .36 .375
Tierod nut(X5) .050-.070 .06 .050`
Nominally, we have a 0.3696”-0.36”=.00925” clearance

But, worst case gives us an interference of 0.024”
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Case 2:Tolerancing using RSS or RMS method
To calculate the tolerance set

Overall Tolerance= X1 + X2 + X3 - X4 + X5
PART Limits Average Std Dev

Spacer(X1) .095-.105 .100 .00167
Disk(X2) .179-.183 .181 .00067
Key Washer(X3) .027-.0295 .02825 .0004167
Tierod(X4) .345-.375 .36 .005
Tierod nut(X5) .050-.070 .06 .00333
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Normal Distribution overview
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Case 2:Tolerancing using RSS or RMS method(continued)
RSS = ( X 1) 2 + ( X 2) 2 + ( X 3) 2 + ( X 4) 2 + ( X 5) 2
RSS = (.00167) 2 + (.00067) 2 + (.0004167) 2 + (.005) 2 + (.00333) 2
RSS = 0.0000395
RSS = .006285 which is 1σ for the tolerance stack
So, looking at the int erval 0.00925"± 3(.006285)
[.00925 − .018855,.00925 + .018855] = [−0.009605, 0.028105]
And the probability of int erference is
0.0 − 0.00925
Pr ob( Z < 0.0) = Z ( ) = Z (−1.47)
.006285
From Normal tables, Pr ob of int erference = 0.0708
or 708 /10, 000
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Jim Breneman
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Case 3: Tolerancing using Monte Carlo Simulation
• Simulator outline:
Randomly determine Part Dimensions
Assemble Disk Configuration
Check for Rod/Nut Interference
1st, assume all dimensions are uniformly distributed,

what is the probability of interference?
Now, assume all dimensions are normally distributed.
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EXCEL
Using Uniform distribution assumptions
•To do this, generate a Uniform (0,1) random number,

P, for each of the 5 components.
•Let size= LOW + P*(HIGH-LOW)
Tierod Clearance
Spacer Disk Washer Tierod Nut or
Sample (X1) (X2) (X3) (X4) (X5) Interference
1 0.1018 0.1820 0.0285 0.3683 0.0630 0.0070(C)
2 0.1017 0.1793 0.0281 0.3711 0.0580 -0.0040(I)
3 0.0961 0.1798 0.0271 0.3674 0.0693 0.0050(C)
4 0.1024 0.1808 0.0273 0.3701 0.0569 -0.0026(I)

. . . . . . .
. . . . . . .
9999 0.1040 0.1792 0.0288 0.3533 0.0516 0.0103(C)
10000 0.0922 0.1796 0.0289 0.3605 0.0512 -0.0016(I)
Probability of Interference=2110/10000
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Using Normal distribution assumptions
• Now assume that the dimensions are normally distributed and

that the given limits are 3 standard deviations below and above the
mean:
PART Limits Average Std Dev
Spacer(X1) .095-.105 .100 .00167
Disk(X2) .179-.183 .181 .00067
Key Washer(X3) .027-.0295 .02825 .0004167
Tierod(X4) .345-.375 .36 .005
Tierod nut(X5) .050-.070 .06 .00333
• The probability of interference is the probability that

X1+X2+X3-X4+X5<0
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EXCEL
Using normal distribution assumptions(continued)
Tierod Clearance
Spacer Disk Washer Tierod Nut or
Sample (X1) (X2) (X3) (X4) (X5) Interference
1 0.1016 0.1816 0.0286 0.3526 0.0660 0.0252(C)
2 0.0986 0.1810 0.0282 0.3569 0.0588 0.0097(C)
3 0.0989 0.1799 0.0281 0.3643 0.0617 0.0043(C)
4 0.1005 0.1809 0.0283 0.3630 0.0598 0.0066(C)

. . . . . .
. . . . . . .
9999 0.1001 0.1804 0.0280 0.3666 0.0576 -0.0005(I)
10000 0.1012 0.1811 0.0290 0.3548 0.0602 0.0167(C)
Probability of Interference= 696/10000

Jim Breneman
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Case 3: Using “More realistic” assumptions on dimensions
Blueprint dimensions:
X2 X1 Spacer .095”-.105”
X2 Disk .179”-.183”
X5 X3 Key washer .027”-.0295”
X4 X4 Tierod .345”-.375”
X5 Tierod nut .050”-.070”
X1
X3
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EXCEL
Using “realistic” distribution assumptions(continued)
PART Limits Assumption

Spacer(X1) .095-.105 Normal(.1,.00167)
Disk(X2) .179-.183 Uniform(.179,.183)
Key Washer(X3) .027-.0295 Triangular(.027,.028.0295)
Tierod(X4) .345-.375 Triangular(.345,.37,375)
Tierod nut(X5) .050-.070 Normal(.06,.00333)
Following the same simulator outline, calculate the number of parts

With interference out of 10,000.
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Tolerancing using Monte Carlo Simulation
Using Crystal Ball™
Crystal Ball demo
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Monte Carlo Simulation of Load
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In Class Example
PROBLEM:
1000 parts are each subjected to an axial load. The load varies
from part to part, and is normally distributed with a mean of
1000 pounds and a standard deviation of 200 pounds.
The cross section of the part is circular, with a radius r. Fun Class Participation
r is uniformly distributed between 0.9 inches and 1.1 inches.
A part fails if the stress it sees exceeds ultimate tensile

strength (UTS). UTS is normally distributed with a mean
of 400 pounds per square inch (psi) and a standard deviation
of 50 psi.
How many parts are expected to fail?
First: Create a flow chart for a Monte Carlo Simulation
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In Class Example (Continued)
CREATE A FLOW CHART FOR THE MONTE CARLO SIMULATION:
1. Generate 1 normal random number to represent axial load

(mean = 1000, sigma = 200)
2. Generate 1 uniform random number between 0.9 and 1.1 to represent the radius
3. Calculate the area of the part
4. Calculate stress (stress = load/area)
5. Generate 1 normal random number to represent UTS (mean = 400, sigma = 50)
6. Compare stress to UTS. If stress > UTS add 1 to failure counter.
7. Repeat steps 2 -7 1,000 times
8. Write out the number of failures.
Will this answer the question?
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If you are using FORTRAN or C
Start
Print total number of

Set Counter: End
failures from 1,000 parts
Fail = 0.0
NO
YES
Normal Random
Determine Axial Load Another Part
Number
Repeat for
1,000 parts
Uniform Random
Determine Radius
Number
Area = π * r2 Calculate Area
π = 3.141592654
Calculate Stress
NO
Normal Random YES

Number Calculate UTS Stress > UTS Fail = Fail + 1.0
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Start
Print total number of

End
Set Counter:
Fail = 0.0
failures from 1,000 parts Not good enough!
NO
- This simulator only
YES
Normal Random
Number
estimates the risk for
Repeat for
1,000 parts
Uniform Random
Determine Radius
one iteration (for the
Number
1,000 parts).
Calculate Area - A Monte Carlo
Simulation averages
Calculate Stress
NO the results from
Normal Random YES
Number Calculate UTS Stress > UTS Fail = Fail + 1.0
multiple iterations.
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Start
Calculate Average
Number of Failures End
For all Trials
Set Counter: Fail = 0.0
NO Averaging multiple
YES Repeat for
Set Counter: Failx = 0.0 Another Trial
100.000 trials iterations provides
the required
Fail = Fail + Failx
output.
NO
YES
Repeat for
Determine Radius 1,000 parts
Calculate Area
Calculate Stress NO
YES
Calculate UTS Stress > UTS Failx = Failx + 1.0
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EXCEL
Now that we have the flow chart – let’s put together the simulator:
• Basic simulators (like this example) can be constructed in EXCEL™.
• More complex simulations will require packages like Crystal Ball™
• Very complex simulations will still require FORTRAN or C.
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Probability of an F-16 pilot finding a
runway
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How Can You Solve This?
• What is the probability of an F-16 finding a 5,000 ft

runway with zero oil pressure (due to MOP idler
bearing failure)?
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If the dry run time is constant...easy solution.
Warning time=8 min

Dry run time =3 min
Total time =11 min
to find runway
Therefore, Prob(Finding a
Runway)= 0.85
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BUT, Dry run time is random
* Could plug in the average run

time, but the “average” may not
accurate.
* Need Monte Carlo simulation

for an accurate estimate.
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Finding a Runway
• There is an 8 minute warning time prior to

zero oil pressure.
• The time an aircraft can fly with zero oil
pressure is represented by a Weibull
distribution.
• A probability distribution is known, giving the
probability of finding a runway given a certain
amount of time.
• Determine the probability of finding a suitable
runway for landing once the warning is given.
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Flying with Zero Oil Pressure
(minutes)
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Finding a Runway
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EXCEL
Finding a Runway Simulation outline
• Randomly determine dry-run time
• Add 8 minutes of warning
• Determine probability of finding runway
• Randomly generate a Uniform [0,1] number
• Determine if runway was actually found
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More (general) Safety risk….
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Monte Carlo Simulation of Fleet Reliability
+ • Exposure time
• Corrective actions
3.5
Cumulative Expected Incidents
2.5
1.5
0.5
0
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0 5 10 15 20 25 30
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Monte Carlo Simulation of Fleet Reliability
Example using 4 failure modes
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Procedure for Calculating Incidents Using A
Weibull Life Distribution
1. For each operating unit, calculate its contribution to total risk

βˆ
F(c i + ∆ i ) - F(c i ) ⎛x⎞

-⎜ ⎟
w here F(x) = 1 - e ⎝ ηˆ ⎠
1 - F(c i )
βˆ, ηˆ are MLE' s of β, η
2. Sum the individual risk contributions over all operating units to compute
total fleet-wide risk
F(c i + ∆ i ) - F(c i )
Risk = ∑
operating
units
1 - F(c i )
Assumptions: Units are not repaired or replaced with a similar unit at time
of failure, having the same Weibull life distribution.
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Compiled FORTRAN
In-class risk analysis program use.
• The program MONTE is supplied on the CD.

• The input file(MONTEONE) contains the following input population:
100. hours
200.
300.
400.
500.
600.
700.
800.
900.
1000.
150.
250.
350.
450.
550.
650.
750.
850.
950.
1050.
575.
With a failure mode β=1, η=1000 hours; Usage rate=27 hours/month

Risk length of 60 months.
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Compiled FORTRAN
In-class risk analysis program(continued)
1. Run MONTE with MONTEONE input; note the cumulative failures after 60 months.
2. Change the usage rate to 54 hours per month, rerun, note the increase in risk.
3. Change the usage rate back to 27 hours per month and rerun… did the answer change
from 1)?.. Why?
4. Now change the Weibull failure parameters to β=2, η=1000 hours, rerun and note the
change in risk.
5. Change the Weibull failure parameters to β=3, η=1000 hours and rerun, noting the
change in risk… repeat for β=4, & β=5 (leaving η alone).
6. Change the Weibull failure parameters to β=3, η=2000 and change the usage rate to
54 hours per month… rerun the risk, noting the cumulative risk.
7. Change the renewals parameter to turn renewals “ON”… rerun and note the increase
in risk.
8. Change the inspection interval to 1200 hours. Rerun the risk and note the decrease.
This is the affect of the inspection interval making the units “good as new.”
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EXCEL
Procedure for Calculating Incidents Using a Weibull
Life Distribution
• The program Risk_analyzer.xls is supplied for this exercise.
• With a failure mode β=1, η=1000 hours; β=2, η=1500 hours
β=3, η=2000 hours, β=4, η=3000 hours. Usage rate=27 hours/month
• Risk length of 5 years(60 months).
• Use the population of 100 engines in column 1 of input.
• Set EFH/Month=20.
1. Run Risk_analyzer.xls; note the cumulative failures after 60 months.

2. Change the usage rate to 54 hours per month, rerun, note the increase in risk.
3. Change the usage rate back to 27 hours per month and rerun… did the answer change
from 1)?.. Why?
4. Now change the Weibull failure parameters for the 3rd failure mode from
β=3, η=2000 hours to β=3, η=1500 hours, rerun … did the cumulative risk due to
all failure modes change or did the distribution of failures among modes change?
5. Change the inspection interval to 1200 hours. Rerun the risk and note the decrease.
Again, this is the affect of the inspection interval making the units “good as new.”
6. Change the number of simulation trials to 100, rerun 3 times. What was the change
in cumulative failures for each failure mode?
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EXCEL macro for multiple Buffon Needle runs
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Macro for running Multi-runs
To do this macro (or any macro for that matter) in EXCEL:
In EXCEL (in the case the Buffon Needle problem .xls):
Select Tools, Macro, Visual Basic Editor, Insert, Module
Type in this macro:
Sub MonteIter() Name of macro is up to you
the 100 is the number of samples of 1000 I decided to do
Calculate resets all the random numbers to new random numbers
For sample = 1 To 100 Cells(sample,8).value=Cells(3,6).value copies the result of the
iteration into the cell (sample,8), I.e. the 1st sample is in 1,8,
the 2nd sample is in 2,8, etc. (Note that Visual Basic refers to
Calculate the cells in EXCEL differently than EXCEL does.VB uses
standard matrix notation. 1,8 is element in 1st row, 8th column)
Cells(sample, 8).Value = Cells(3, 6).Value

Next sample
End Sub
Now, go to BuffonNeedle.xls; from EXCEL pulldown Tools, MACRO,
MACROS, click on buffonneedle.xls!Module.Monteiter, then click Run.
And you should generate the 100 average pi values from the 1000 pin droppings.
On the next page is a normal plot of my 100.. Notice the spread
in the estimate of pi even though you’re using 1000 pin drops to get
each estimate of pi. Jim Breneman
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Jim Breneman
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Additional examples
• F100 Operational Support Model

• Saudi Pipeline Simulation
• Reliability in Design (Probabilistic Design)
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F100 Operational Support Model
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Cumulative Depot Modules Helps Determine
Depot Workload
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Going to 1350 Cycles Saves Depot Visits
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F15 /F16 HPT 3600/4100 Depot Inspections
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F15 HPC Module Demands
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Aids in LCC Payoff
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Increased CIP Funding Saves LCC$
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Aids in Determining Which Failure Modes are
Most Important
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Weibull Plot input for Risk Analysis
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Number 4 Oil Tube Chafe & ‘B’ Nut
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Advantages of F100 O&S Simulation
• One basic model with regularly updated input

was used to forecast:
• Depot/IM Module Generations
• Spares Requirements
• Life Cycle Cost
• Maintenance Effectiveness
• Risk/Safety
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Saudi Arabian Crude Oil Pipeline
Would the System Provide 99% Availability?

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Saudi Pipeline Simulation
• Number of simultaneous repairs:

Facility Capacity Repairs
3 Maintenance sites One engine/ * Module changeout
module * Main engine bearing
compartments.
1 Major Repair facility Two engine/ * Module repair
modules
plus one
Free turbine
* Main engine bearings
* Free turbine repairs
* All other
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Saudi Pipeline Simulation...Spares distribution
Spare Item East-3 Central-6 West-10

Gas generator 1 1 1
HPT module 1 2 1
LPT module 1 1 1
Free turbine 1
All other items Unlimited Unlimited Unlimited
Repair:
* Repairs done by captured crews at repair sites and the major repair facility.
* Lack of spares results in wait Jim Breneman
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Saudi Pipeline Simulation...Module Repair Times
Engine Remove
Failure & Repair
Item Chance(%) Replace Time
LPC 21 1 day 2-4 weeks
HPC 28 4 days 1.5-3 weeks
HPT 27 3 days 1-2 weeks
LPT 16 1 day 1-2 weeks
Exh case 2 1/2 day 3-6 days
Bearings 5 1/2 day -
Gearbox 1 1/2 day 4-8 days
100
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Saudi Pipeline Simulation
• Utilized GPSS for simulation, FORTRAN for

output tables and plots.
• Base case run found to be questionable...
70% availability and a $2.6B loss/year.
• What if......
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Saudi Pipeline Simulation....options
Possibility Answer
More repair crews No change required
More spare modules Additional compressor
module as spares
More repair facilities Add 2 additional
repair facilities
Result: 99+% System Availability
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The Need for a Probabilistic Approach in Design
• Most design factors (e.g. applied forces, materials, geometry)

possess variability.
• More meaningful - “This system has a probability of 1/1000 of

failing in 8000 cycles.”
• Easier to compare competing designs in terms of reliability.
• Effect of uncertainties on the final design can be quantified,

Hence the cost of removing this uncertainty can be assessed.
• Develop policies towards warranties, spare part requirements.

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Uncertainties in the Design Process
• Strength uncertainties
• Material properties
• Machining & processing operations
• Assembly operations
• Effects of time(cycling)
• Stress uncertainties
• Stress analysis assumptions
• Magnitude of peak loads
• Discontinuities and stress concentrations
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General Approach
A, area
R, strength
S, stress Stress Strength
Prob Stress `> Strength Jim Breneman

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Monte Carlo Simulation solution of the Problem
• Generate a random value from each design variable distribution

(e.g. stress, temperature, geometry)
• Evaluate the engineering formulation; say gi=Ri - Si
• Repeat many time (100,000 or more)
• Count the number of gi’s<0
Conclusion
• Easy to formulate, easy to program (FORTRAN,C,PASCAL, even SAS)
• Computer time is no longer a concern with faster processors.
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Example: F100 3-4 Spacer .2% Creep
• Stress - Snap Load

- Speeds
Stress
- Spacer thickness
• Metal Temperature - FTIT

(TMetal) - Chamber 19 leaks
- Chamber 19 Temps
Reliability goal is 4/1000 at 580 hours intermediate & above.
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Example input
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Output
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Output, Assessing the impact of increasing FTIT 1000
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FORTRAN Routines for Random Number
Generation
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FORTRAN routines for Random number
generation
• Uniform random number generation:
1. Intrinsic function random_number(harvest)
generates uniform random numbers either one at a time or as an array.
2. Functions ran1(idum), ran2(idum), ran3(idum) (in back of presentation)
These all use a negative integer to initialize, and are good uniform
random number generators (see “Numerical Recipes in FORTRAN 77”)
• Normal random number generation

1. Function gasdev(idum) in the back of the presentation,
where idum is a negative integer, generates a standard normal deviate.
2. Subroutine Gauss6(IX,Stddev,Mean,Xnormal) returns a normal
random number, where IX is an integer.(also in the back of the presentation)
3. After the program statement put the statement
use numerical_libraries
then
call rnnor(1,z) will generate a standard normal variate z.
• Generating Weibull, exponential, lognormal random numbers in FORTRAN :

use the above routines. Jim Breneman
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Algorithm for Generating Uniform Random numbers.. #1
FUNCTION RAN1(IDUM)
DIMENSION R(97)
PARAMETER (M1=259200,IA1=7141,IC1=54773,RM1=3.8580247E-6)
PARAMETER (M2=134456,IA2=8121,IC2=28411,RM2=7.4373773E-6)
PARAMETER (M3=243000,IA3=4561,IC3=51349)
DATA IFF /0/
IF (IDUM.LT.0.OR.IFF.EQ.0) THEN
IFF=1
IX1=MOD(IC1-IDUM,M1)
IX1=MOD(IA1*IX1+IC1,M1)
IX2=MOD(IX1,M2)
IX3=MOD(IX1,M3)
DO 11 J=1,97
R(J)=(FLOAT(IX1)+FLOAT(IX2)*RM2)*RM1
11 CONTINUE
IDUM=1
ENDIF
J=1+(97*IX3)/M3
IF(J.GT.97.OR.J.LT.1)PAUSE
RAN1=R(J)
R(J)=(FLOAT(IX1)+FLOAT(IX2)*RM2)*RM1
RETURN
END
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FUNCTION RAN2(IDUM)
PARAMETER (M=714025,IA=1366,IC=150889,RM=1.4005112E-6)
DIMENSION IR(97)
DATA IFF /0/
IF(IDUM.LT.0.OR.IFF.EQ.0)THEN
IFF=1
IDUM=MOD(IC-IDUM,M)
DO 11 J=1,97
IDUM=MOD(IA*IDUM+IC,M)
IR(J)=IDUM
11 CONTINUE
IY=IDUM
ENDIF
J=1+(97*IY)/M
IF(J.GT.97.OR.J.LT.1)PAUSE
IY=IR(J)
RAN2=IY*RM
IR(J)=IDUM
RETURN
END
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FUNCTION RAN3(IDUM) INEXT=INEXT+1

C IMPLICIT REAL*4(M) IF(INEXT.EQ.56)INEXT=1
C PARAMETER (MBIG=4000000.,MSEED=1618033.,MZ=0.,FAC=2.5E-7) INEXTP=INEXTP+1
PARAMETER (MBIG=1000000000,MSEED=161803398,MZ=0,FAC=1.E-9) IF(INEXTP.EQ.56)INEXTP=1
DIMENSION MA(55) MJ=MA(INEXT)-MA(INEXTP)
DATA IFF /0/ IF(MJ.LT.MZ)MJ=MJ+MBIG
IF(IDUM.LT.0.OR.IFF.EQ.0)THEN MA(INEXT)=MJ
IFF=1 RAN3=MJ*FAC
MJ=MSEED-IABS(IDUM) RETURN
MJ=MOD(MJ,MBIG) END
MA(55)=MJ
MK=1
DO 11 I=1,54
II=MOD(21*I,55)
MA(II)=MK
MK=MJ-MK
IF(MK.LT.MZ)MK=MK+MBIG
MJ=MA(II)
11 CONTINUE
DO 13 K=1,4
DO 12 I=1,55
MA(I)=MA(I)-MA(1+MOD(I+30,55))
IF(MA(I).LT.MZ)MA(I)=MA(I)+MBIG
12 CONTINUE
13 CONTINUE
INEXT=0
INEXTP=31
IDUM=1
Jim Breneman
ENDIF Introduction to Monte Carlo Simulation 860-565-3959
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Algorithm for Generating Normal Random numbers.. #1
FUNCTION gasdev(idum)
integer idum
real gasdev
integer iset
real fac,gset,rsq,v1,v2,ran1
save iset, gset
data iset/0/
if (iset .eq. 0) then
1 call random_number(ran1)
v1=2.*ran1-1.
call random_number(ran1)
v2=2.*ran1-1.
rsq=v1**2+v2**2
if (rsq .ge. 1. .or. rsq .eq. 0.)goto 1
fac=sqrt(-2.*log(rsq)/rsq)
gset=v1*fac
gasdev=v2*fac
iset=1
else
gasdev=gset
iset=0
endif
return
end
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Algorithm for Generating Normal Random numbers.. #2
SUBROUTINE GAUSS6(IX,SIGMA,XMEAN,X)
DATA XI/2.2160359/ F = EXP(-(T**2)/2.) / 2.5066283 - .1800252 * (XI - ABS(T))
C IF (A.LE.F) GO TO 100
C KINDERMAN/RAMAGE NORMAL RANDOM NUMBER GENERATOR GO TO 25
C REFERENCE : JASA, DECEMBER 1976, PAGES 893 - 896 30 IF (U.LT..9113128) GO TO 40
C PROGRAMMER : GRANT REINMAN 35 IX = IX * 65549
C V = .5 + FLOAT(IX) * .2328306E-9
IX = IX * 65549 IX = IX * 65549
U = .5 + FLOAT(IX) * .2328306E-9 W = .5 + FLOAT(IX) * .2328306E-9
IF (U.GE..884074) GO TO 10 Z=V-W
IX = IX * 65549 T = .4797274 + 1.1054737 * AMIN1(V,W)
V = .5 + FLOAT(IX) * .2328306E-9 IF (AMAX1(V,W).LE..872835) GO TO 100
X = XI * (1.1311316 * U + V - 1.) A = .0492645 * ABS(Z)
X = XMEAN + X * SIGMA F = EXP(-(T**2)/2.) / 2.5066283 - .1800252 * (XI - ABS(T))
RETURN IF (A.LE.F) GO TO 100
10 IF (U.LT..973311) GO TO 20 GO TO 35
15 IX = IX * 65549 40 IX = IX * 65549
V = .5 + FLOAT(IX) * .2328306E-9 V = .5 + FLOAT(IX) * .2328306E-9
IX = IX * 65549 IX = IX * 65549
W = .5 + FLOAT(IX) * .2328306E-9 W = .5 + FLOAT(IX) * .2328306E-9
T = (XI**2) / 2. - ALOG(W) Z=V-W
IF ((T*V**2).GT.((XI**2)/2.)) GO TO 15 T = .4797274 - .5955071 * AMIN1(V,W)
X = -SQRT(2.*T) IF (AMAX1(V,W).LE..8055779) GO TO 100
IF (U.LT..9866555) X = SQRT(2.*T) A = .0533775 * ABS(Z)
X = XMEAN + X * SIGMA F = EXP(-(T**2)/2.) / 2.5066283 - .1800252 * (XI - ABS(T))
RETURN IF (A.GT.F) GO TO 40
20 IF (U.LT..9587208) GO TO 30 100 X = XMEAN + SIGMA * T
25 IX = IX * 65549 IF (Z.GE.0.) X = XMEAN - SIGMA * T
V = .5 + FLOAT(IX) * .2328306E-9 RETURN
IX = IX * 65549 END
W = .5 + FLOAT(IX) * .2328306E-9
Z=V-W
T = XI - .6308348 * AMIN1(V,W)
IF (AMAX1(V,W).LE..7555915) GO TO 100
A = .0342405 * ABS(Z)
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Introduction To MONTE CARLO Simulation

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Introduction To MONTE CARLO Simulation

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Warning

Simulation is a modeling technique in which the cause-

Simulation is a powerful analysis tool that helps make

• Increased awareness & understanding of technology.

• Apply the basics of Monte Carlo simulation in EXCEL to solve simple

1. Understanding Monte Carlo simulation and its uses.

• Monte Carlo Simulation is a method that has many

• Consider the fact that the random nature of a game

• A simple, fast, intriguing, educational method for

• Application: Any system or situation with some random

• The more variables, the more randomness, the better

* Sources: Telephone numbers,

• The Monte Carlo method provides approximate

• Discrete Event simulation - models systems

• Probability Density Functions

• Obtain or assume probability distributions

• Program model or computer with random numbers

• Exercise model for 10,000 or 100,000 trials.

• Compare statistical output with reality...ask an expert!!

• Modify model for new change

• Exercise the model.

• The inverse method is used to generate

Weibull, Normal, etc. random

• One common technique is an iterative technique given

• Let m=17, n=33, and c=1; then

• The values of yi should be uniformly

The values of P are uniformly distributed between 0 and 1.

• The RAND function in versions of Excel <2003 used a pseudo-random number

IX = MOD(171 * IX, 30269)

IY = MOD(172 * IY, 30307)

IZ = MOD(170 * IZ, 30323)

RANDOM = AMOD(FLOAT(IX) / 30269.0 + FLOAT(IY) / 30307.0 + FLOAT(IZ) / 30323.0, 1.0)

Histogram Uniform Random Numbers

A statistical “Goodness-of-fit” test shows that these 1000 random

Recall that F(x) is the CDF (cumulative Distribution Function) of a

If p is a uniform (0,1) random number, then x is a random number

• =RAND() returns a uniform random number between 0 and 1.

Weibull: Beta=3, Eta=1000 Triangular:

Generating Random numbers in EXCEL

• Generate the sum of the four random

• Plot Distance D vs (1/2)sine(theta). The values on or below the curve

• The shaded portion is found by using the definite integral of (1/2)sin(theta)

1. Generate a random angle θ (0 το 180°)

• Suppose monthly demand follows the

• The Inverse Transformation Method (Steps 2 &

Rand # 0 0.1 0.5 0.8 1

• What is the probability that a random number will be

• First, find cumulative distribution of the r.v.

Analytical Monte Carlo

a. Generally requires a. Calculations can take longer

• In an optimization model, the decision

• Worst case-- use the worst side of each dimension in

• TF30 9th Compressor Disk: minimum thread engagement

• Assume that the dimensions are either

The probability of interference is the probability that

PART Limits Average “Worst Case”

Disk(X2) .179-.183 .181 .179

Key Washer(X3) .027-.0295 .02825 .027

Tierod(X4) .345-.375 .36 .375

Tierod nut(X5) .050-.070 .06 .050`

Nominally, we have a 0.3696”-0.36”=.00925” clearance

To calculate the tolerance set

PART Limits Average Std Dev