It is sometimes necessary to generate stochastic time histories of variables. A stochastic time history is a random time history that is generated according to a specified set of statistics. For example, for one type of stochastic time history, the "random walk", the variable can be thought of as taking successive steps, each in a random direction. The overall trend (up or down) and the size of the steps are controlled by the statistical measures specified by the user.
GoldSim provides a specialized element to generate such time histories, the History Generator. This element is primarily envisioned as a tool to allow users to simulate financial and economic variables (e.g., security prices, interest rates), but has many applications in other arenas.
The default icon for the History Generator element looks like this:
The property dialog looks like this:
Like all GoldSim elements, you first specify an Element ID and a Description.
Below the Description field, you specify the Display Units you wish to use.
To the right of the Display Units, you can specify the Type. By default, a History Generator provides a scalar output (and requires scalar inputs). However, via this button, you can also specify it to have vector (1-D array) output (and require vector inputs).
The "History Definition" portion of the History Generator dialog is used to specify the characteristics of the stochastic history. The History Type field is used to select the general type of stochastic history. GoldSim currently provides two options: "Geometric Growth" and "Random Walk". The details of how the History Definition fields are specified are provided in the topics below.
An example file which illustrates the use of History Generator elements (HistoryGenerator.gsm) can be found in the General Examples folder in your GoldSim directory (accessed by selecting File | Open Example... from the main menu).
Learn more about:
Types of Stochastic Time Histories
Generating Geometric Growth Histories