C# Monte Carlo Simulation Package Needed

Posted by Yunzhou on Stack Overflow See other posts from Stack Overflow or by Yunzhou
Published on 2011-02-14T08:09:29Z Indexed on 2011/02/15 15:25 UTC
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montecarlo

I'm relative new to C# and doing a project using Monte Carlo Simulation. Basically my question is the following.

I have two uncertain variable inputs, A and B, and they will go through a model and give an output C. So C = f(A,B). I know A's probability distribution (Triangular) and B's probability distribution (Discrete). How can I get the probability distribution of C?

What I have done now is that I can generate random numbers based on A's triangular distribution as well as B's discrete distribution. Each pair of randomly generated A and B gives a resultant C. I've run this model 1000 times thus I can get 1000 possible values of C. The difficulty is to get the corresponding probabilities of each value of C. Obviously it's not 1/1000 unless C is uniformly distributed. Is there any Monte Carlo Simulation package/library I can use?

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