Payoff sensitivity MCMC does not vary with payoff value (1.92, 3.84 or 6.63)
Posted: Mon Oct 15, 2018 10:26 pm
Hi Tom,
I was trying to compare the samples resulting from standalone MCMC and payoff sensitivity MCMC, by following the Reference Manual (MCMC Options). While specifying standalone MCMC as the Optimizer is straightforward, I have encountered a problem with specifying MCMC as a method of payoff sensitivity analysis in the standard Powell optimizer.
I opened the .voc and specified the following (as instructed by the Manual):
:OPTIMIZER=Powell
:SENSITIVITY=payoff MCMC=6.63
Then I run it through Model - Simulate - Optimize (rather than directly clicking "Optimize - Payoff Definition - Optimization Control, which always reports an error regarding "SENSITIVITY=PAYOFF MCMC=6.63" - perhaps this is because PAYOFF MCMC is not integrated into the optimization control interface).
The real problem is that, the run results do not show any difference, regardless of the value for payoff MCMC (1.92, 3.84 or 6.63, which represents the X2 values for 90%, 95% and 99%). However, the results are clearly different from those from the standalone MCMC, as expected. Please see the attached figure.
How to deal with this issue? I believe the results for 1.92, 3.84, and 6.63 are supposed to be different.
Thank you so much.
I was trying to compare the samples resulting from standalone MCMC and payoff sensitivity MCMC, by following the Reference Manual (MCMC Options). While specifying standalone MCMC as the Optimizer is straightforward, I have encountered a problem with specifying MCMC as a method of payoff sensitivity analysis in the standard Powell optimizer.
I opened the .voc and specified the following (as instructed by the Manual):
:OPTIMIZER=Powell
:SENSITIVITY=payoff MCMC=6.63
Then I run it through Model - Simulate - Optimize (rather than directly clicking "Optimize - Payoff Definition - Optimization Control, which always reports an error regarding "SENSITIVITY=PAYOFF MCMC=6.63" - perhaps this is because PAYOFF MCMC is not integrated into the optimization control interface).
The real problem is that, the run results do not show any difference, regardless of the value for payoff MCMC (1.92, 3.84 or 6.63, which represents the X2 values for 90%, 95% and 99%). However, the results are clearly different from those from the standalone MCMC, as expected. Please see the attached figure.
How to deal with this issue? I believe the results for 1.92, 3.84, and 6.63 are supposed to be different.
Thank you so much.