Monte Carlo Method

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MonteCarlomethodWikipedia,thefreeencyclopedia
MonteCarlomethod
FromWikipedia,thefreeencyclopedia
NottobeconfusedwithMonteCarloalgorithm.
MonteCarlomethods(orMonteCarloexperiments)areabroadclassofcomputationalalgorithmsthat
relyonrepeatedrandomsamplingtoobtainnumericalresults.Theyareoftenusedinphysicaland
mathematicalproblemsandaremostusefulwhenitisdifficultorimpossibletouseothermathematical
methods.MonteCarlomethodsaremainlyusedinthreedistinctproblemclasses:[1]optimization,numerical
integration,andgeneratingdrawsfromaprobabilitydistribution.
Inphysicsrelatedproblems,MonteCarlomethodsarequiteusefulforsimulatingsystemswithmany
coupleddegreesoffreedom,suchasfluids,disorderedmaterials,stronglycoupledsolids,andcellular
structures(seecellularPottsmodel,interactingparticlesystems,McKeanVlasovprocesses,kineticmodels
ofgases).Otherexamplesincludemodelingphenomenawithsignificantuncertaintyininputssuchasthe
calculationofriskinbusinessand,inmath,evaluationofmultidimensionaldefiniteintegralswith
complicatedboundaryconditions.Inapplicationtospaceandoilexplorationproblems,MonteCarlobased
predictionsoffailure,costoverrunsandscheduleoverrunsareroutinelybetterthanhumanintuitionor
alternative"soft"methods.[2]
Inprinciple,MonteCarlomethodscanbeusedtosolveanyproblemhavingaprobabilisticinterpretation.
Bythelawoflargenumbers,integralsdescribedbytheexpectedvalueofsomerandomvariablecanbe
approximatedbytakingtheempiricalmean(a.k.a.thesamplemean)ofindependentsamplesofthe
variable.Whentheprobabilitydistributionofthevariableistoocomplex,weoftenuseaMarkovChain
MonteCarlo(MCMC)sampler.ThecentralideaistodesignajudiciousMarkovchainmodelwitha
prescribedstationaryprobabilitydistribution.Bytheergodictheorem,thestationaryprobabilitydistribution
isapproximatedbytheempiricalmeasuresoftherandomstatesoftheMCMCsampler.
Inotherimportantproblemsweareinterestedingeneratingdrawsfromasequenceofprobability
distributionssatisfyinganonlinearevolutionequation.Theseflowsofprobabilitydistributionscanalways
beinterpretedasthedistributionsoftherandomstatesofaMarkovprocesswhosetransitionprobabilities
dependsonthedistributionsofthecurrentrandomstates(seeMcKeanVlasovprocesses,nonlinearfiltering
equation).[3][4]Inotherinstanceswearegivenaflowofprobabilitydistributionswithanincreasinglevelof
samplingcomplexity(pathspacesmodelswithanincreasingtimehorizon,BoltzmannBibbsmeasures
associatedwithdecreasingtemperatureparameters,andmanyothers).Thesemodelscanalsobeseenasthe
evolutionofthelawoftherandomstatesofanonlinearMarkovchain.[4][5]Anaturalwaytosimulatethese
sophisticatednonlinearMarkovprocessesistosamplealargenumberofcopiesoftheprocess,replacingin
theevolutionequationtheunknowndistributionsoftherandomstatesbythesampledempiricalmeasures.
IncontrastwithtraditionalMonteCarloandMarkovchainMonteCarlomethodologiesthesemeanfield
particletechniquesrelyonsequentialinteractingsamples.Theterminologymeanfieldreflectsthefactthat
eachofthesamples(a.k.a.particles,individuals,walkers,agents,creatures,orphenotypes)interactswith
theempiricalmeasuresoftheprocess.Whenthesizeofthesystemtendstoinfinity,theserandomempirical
measuresconvergetothedeterministicdistributionoftherandomstatesofthenonlinearMarkovchain,so
thatthestatisticalinteractionbetweenparticlesvanishes.
Contents
1Introduction
https://en.wikipedia.org/wiki/Monte_Carlo_method
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1Introduction
2History
3Definitions
3.1MonteCarloandrandomnumbers
3.2MonteCarlosimulationversus"whatif"scenarios
4Applications
4.1Physicalsciences
4.2Engineering
4.3Computationalbiology
4.4Computergraphics
4.5Appliedstatistics
4.6Artificialintelligenceforgames
4.7Designandvisuals
4.8Financeandbusiness
5Useinmathematics
5.1Integration
5.2Simulationandoptimization
5.3Inverseproblems
5.3.1Petroleumreservoirmanagement
6Inpopularculture
7Seealso
8Notes
9References
Introduction
MonteCarlomethodsvary,buttendtofollowaparticularpattern:
1. Defineadomainofpossibleinputs.
2. Generateinputsrandomlyfromaprobabilitydistributionover
thedomain.
3. Performadeterministiccomputationontheinputs.
4. Aggregatetheresults.
Forexample,consideracircleinscribedinaunitsquare.Giventhat
thecircleandthesquarehavearatioofareasthatis/4,thevalueof
canbeapproximatedusingaMonteCarlomethod:[6]
1. Drawasquareontheground,theninscribeacirclewithinit.
2. Uniformlyscattersomeobjectsofuniformsize(grainsofrice
orsand)overthesquare.
3. Countthenumberofobjectsinsidethecircleandthetotal
numberofobjects.
4. Theratioofthetwocountsisanestimateoftheratioofthe
twoareas,whichis/4.Multiplytheresultby4toestimate.
MonteCarlomethodappliedto
approximatingthevalueof .After
placing30000randompoints,the
estimatefor iswithin0.07%ofthe
actualvalue.Thishappenswithan
approximateprobabilityof20%.
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Inthisprocedurethedomainofinputsisthesquarethatcircumscribesourcircle.Wegeneraterandom
inputsbyscatteringgrainsoverthesquarethenperformacomputationoneachinput(testwhetheritfalls
withinthecircle).Finally,weaggregatetheresultstoobtainourfinalresult,theapproximationof.
Therearetwoimportantpointstoconsiderhere:Firstly,ifthegrainsarenotuniformlydistributed,thenour
approximationwillbepoor.Secondly,thereshouldbealargenumberofinputs.Theapproximationis
generallypoorifonlyafewgrainsarerandomlydroppedintothewholesquare.Onaverage,the
approximationimprovesasmoregrainsaredropped.
UsesofMonteCarlomethodsrequirelargeamountsofrandomnumbers,anditwastheirusethatspurred
thedevelopmentofpseudorandomnumbergenerators,whichwerefarquickertousethanthetablesof
randomnumbersthathadbeenpreviouslyusedforstatisticalsampling.
History
BeforetheMonteCarlomethodwasdeveloped,simulationstestedapreviouslyunderstooddeterministic
problemandstatisticalsamplingwasusedtoestimateuncertaintiesinthesimulations.MonteCarlo
simulationsinvertthisapproach,solvingdeterministicproblemsusingaprobabilisticanalog(seeSimulated
annealing).
AnearlyvariantoftheMonteCarlomethodcanbeseenintheBuffon'sneedleexperiment,inwhichcan
beestimatedbydroppingneedlesonafloormadeofparallelandequidistantstrips.Inthe1930s,Enrico
FermifirstexperimentedwiththeMonteCarlomethodwhilestudyingneutrondiffusion,butdidnot
publishanythingonit.[7]
ThemodernversionoftheMarkovChainMonteCarlomethodwasinventedinthelate1940sbyStanislaw
Ulam,whilehewasworkingonnuclearweaponsprojectsattheLosAlamosNationalLaboratory.
ImmediatelyafterUlam'sbreakthrough,JohnvonNeumannunderstooditsimportanceandprogrammedthe
ENIACcomputertocarryoutMonteCarlocalculations.In1946,physicistsatLosAlamosScientific
Laboratorywereinvestigatingradiationshieldingandthedistancethatneutronswouldlikelytravelthrough
variousmaterials.Despitehavingmostofthenecessarydata,suchastheaveragedistanceaneutronwould
travelinasubstancebeforeitcollidedwithanatomicnucleus,andhowmuchenergytheneutronwaslikely
togiveofffollowingacollision,theLosAlamosphysicistswereunabletosolvetheproblemusing
conventional,deterministicmathematicalmethods.StanislawUlamhadtheideaofusingrandom
experiments.Herecountshisinspirationasfollows:
ThefirstthoughtsandattemptsImadetopractice[theMonteCarloMethod]weresuggested
byaquestionwhichoccurredtomein1946asIwasconvalescingfromanillnessandplaying
solitaires.ThequestionwaswhatarethechancesthataCanfieldsolitairelaidoutwith52cards
willcomeoutsuccessfully?Afterspendingalotoftimetryingtoestimatethembypure
combinatorialcalculations,Iwonderedwhetheramorepracticalmethodthan"abstract
thinking"mightnotbetolayitoutsayonehundredtimesandsimplyobserveandcountthe
numberofsuccessfulplays.Thiswasalreadypossibletoenvisagewiththebeginningofthe
neweraoffastcomputers,andIimmediatelythoughtofproblemsofneutrondiffusionand
otherquestionsofmathematicalphysics,andmoregenerallyhowtochangeprocesses
describedbycertaindifferentialequationsintoanequivalentforminterpretableasasuccession
ofrandomoperations.Later[in1946],IdescribedtheideatoJohnvonNeumann,andwe
begantoplanactualcalculations.
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StanislawUlam[8]
Beingsecret,theworkofvonNeumannandUlamrequiredacodename.AcolleagueofvonNeumannand
Ulam,NicholasMetropolis,suggestedusingthenameMonteCarlo,whichreferstotheMonteCarlo
CasinoinMonacowhereUlam'sunclewouldborrowmoneyfromrelativestogamble.[7]Usinglistsof
"trulyrandom"randomnumberswasextremelyslow,butvonNeumanndevelopedawaytocalculate
pseudorandomnumbers,usingthemiddlesquaremethod.Thoughthismethodhasbeencriticizedascrude,
vonNeumannwasawareofthis:hejustifieditasbeingfasterthananyothermethodathisdisposal,and
alsonotedthatwhenitwentawryitdidsoobviously,unlikemethodsthatcouldbesubtlyincorrect.
MonteCarlomethodswerecentraltothesimulationsrequiredfortheManhattanProject,thoughseverely
limitedbythecomputationaltoolsatthetime.Inthe1950stheywereusedatLosAlamosforearlywork
relatingtothedevelopmentofthehydrogenbomb,andbecamepopularizedinthefieldsofphysics,
physicalchemistry,andoperationsresearch.TheRandCorporationandtheU.S.AirForceweretwoofthe
majororganizationsresponsibleforfundinganddisseminatinginformationonMonteCarlomethodsduring
thistime,andtheybegantofindawideapplicationinmanydifferentfields.
ThetheoryofmoresophisticatedmeanfieldtypeparticleMonteCarlomethodshadcertainlystartedbythe
mid1960s,withtheworkofHenryP.McKeanJr.onMarkovinterpretationsofaclassofnonlinear
parabolicpartialdifferentialequationsarisinginfluidmechanics.[9][10]Wealsoquoteanearlierpioneering
articlebyTheodoreE.HarrisandHermanKahn,publishedin1951,usingmeanfieldgenetictypeMonte
Carlomethodsforestimatingparticletransmissionenergies.[11]MeanfieldgenetictypeMonteCarlo
methodologiesarealsousedasheuristicnaturalsearchalgorithms(a.k.a.Metaheuristic)inevolutionary
computing.Theoriginsofthesemeanfieldcomputationaltechniquescanbetracedto1950and1954with
theworkofAlanTuringongenetictypemutationselectionlearningmachines[12]andthearticlesbyNils
AallBarricelliattheInstituteforAdvancedStudyinPrinceton,NewJersey.[13][14]
QuantumMonteCarlo,andmorespecificallyDiffusionMonteCarlomethodscanalsobeinterpretedasa
meanfieldparticleMonteCarloapproximationofFeynmanKacpathintegrals.[15][16][17][18][19][20][21]The
originsofQuantumMonteCarlomethodsareoftenattributedtoEnricoFermiandRobertRichtmyerwho
developedin1948ameanfieldparticleinterpretationofneutronchainreactions,[22]butthefirstheuristic
likeandgenetictypeparticlealgorithm(a.k.a.ResampledorReconfigurationMonteCarlomethods)for
estimatinggroundstateenergiesofquantumsystems(inreducedmatrixmodels)isduetoJackH.
Hetheringtonin1984[21]Inmolecularchemistry,theuseofgeneticheuristiclikeparticlemethodologies
(a.k.a.pruningandenrichmentstrategies)canbetracedbackto1955withtheseminalworkofMarshall.N.
RosenbluthandArianna.W.Rosenbluth.[23]
TheuseofSequentialMonteCarloinadvancedSignalprocessingandBayesianinferenceismorerecent.It
wasin1993,thatGordonetal.,publishedintheirseminalwork[24]thefirstapplicationofaMonteCarlo
resamplingalgorithminBayesianstatisticalinference.Theauthorsnamedtheiralgorithm'thebootstrap
filter',anddemonstratedthatcomparedtootherfilteringmethods,theirbootstrapalgorithmdoesnotrequire
anyassumptionaboutthatstatespaceorthenoiseofthesystem.Wealsoquoteanotherpioneeringarticle
inthisfieldofGenshiroKitagawaonarelated"MonteCarlofilter",[25]andtheonesbyPierreDelMoral[26]
andHimilconCarvalho,PierreDelMoral,AndrMoninandGrardSalut[27]onparticlefilterspublishedin
themid1990s.Particlefilterswerealsodevelopedinsignalprocessingintheearly19891992byP.Del
Moral,J.C.Noyer,G.Rigal,andG.SalutintheLAASCNRSinaseriesofrestrictedandclassified
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researchreportswithSTCAN(ServiceTechniquedesConstructionsetArmesNavales),theITcompany
DIGILOG,andtheLAASCNRS(https://www.laas.fr/public/en)(theLaboratoryforAnalysisand
ArchitectureofSystems)onRADAR/SONARandGPSsignalprocessingproblems.[28][29][30][31][32][33]
TheseSequentialMonteCarlomethodologiescanbeinterpretedasanacceptancerejectionsampler
equippedwithaninteractingrecyclingmechanism.
From1950to1996,allthepublicationsonSequentialMonteCarlomethodologiesincludingthepruning
andresampleMonteCarlomethodsintroducedincomputationalphysicsandmolecularchemistry,present
naturalandheuristiclikealgorithmsappliedtodifferentsituationswithoutasingleproofoftheir
consistency,noradiscussiononthebiasoftheestimatesandongenealogicalandancestraltreebased
algorithms.Themathematicalfoundationsandthefirstrigorousanalysisoftheseparticlealgorithmsare
duetoPierreDelMoral[26][34]in1996.Branchingtypeparticlemethodologieswithvaryingpopulation
sizeswerealsodevelopedintheendofthe1990sbyDanCrisan,JessicaGainesandTerryLyons,[35][36][37]
andbyDanCrisan,PierreDelMoralandTerryLyons.[38]Furtherdevelopmentsinthisfieldwere
developedin2000byP.DelMoral,A.GuionnetandL.Miclo.[16][39][40]
Definitions
ThereisnoconsensusonhowMonteCarloshouldbedefined.Forexample,Ripley[41]definesmost
probabilisticmodelingasstochasticsimulation,withMonteCarlobeingreservedforMonteCarlo
integrationandMonteCarlostatisticaltests.Sawilowsky[42]distinguishesbetweenasimulation,aMonte
Carlomethod,andaMonteCarlosimulation:asimulationisafictitiousrepresentationofreality,aMonte
Carlomethodisatechniquethatcanbeusedtosolveamathematicalorstatisticalproblem,andaMonte
Carlosimulationusesrepeatedsamplingtodeterminethepropertiesofsomephenomenon(orbehavior).
Examples:
Simulation:Drawingonepseudorandomuniformvariablefromtheinterval[0,1]canbeusedto
simulatethetossingofacoin:Ifthevalueislessthanorequalto0.50designatetheoutcomeas
heads,butifthevalueisgreaterthan0.50designatetheoutcomeastails.Thisisasimulation,butnot
aMonteCarlosimulation.
MonteCarlomethod:Pouringoutaboxofcoinsonatable,andthencomputingtheratioofcoinsthat
landheadsversustailsisaMonteCarlomethodofdeterminingthebehaviorofrepeatedcointosses,
butitisnotasimulation.
MonteCarlosimulation:Drawingalargenumberofpseudorandomuniformvariablesfromthe
interval[0,1],andassigningvalueslessthanorequalto0.50asheadsandgreaterthan0.50astails,is
aMonteCarlosimulationofthebehaviorofrepeatedlytossingacoin.
KalosandWhitlock[6]pointoutthatsuchdistinctionsarenotalwayseasytomaintain.Forexample,the
emissionofradiationfromatomsisanaturalstochasticprocess.Itcanbesimulateddirectly,oritsaverage
behaviorcanbedescribedbystochasticequationsthatcanthemselvesbesolvedusingMonteCarlo
methods."Indeed,thesamecomputercodecanbeviewedsimultaneouslyasa'naturalsimulation'orasa
solutionoftheequationsbynaturalsampling."
MonteCarloandrandomnumbers
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MonteCarlosimulationmethodsdonotalwaysrequiretrulyrandomnumberstobeusefulwhilefor
someapplications,suchasprimalitytesting,unpredictabilityisvital.[43]Manyofthemostusefultechniques
usedeterministic,pseudorandomsequences,makingiteasytotestandrerunsimulations.Theonlyquality
usuallynecessarytomakegoodsimulationsisforthepseudorandomsequencetoappear"randomenough"
inacertainsense.
Whatthismeansdependsontheapplication,buttypicallytheyshouldpassaseriesofstatisticaltests.
Testingthatthenumbersareuniformlydistributedorfollowanotherdesireddistributionwhenalarge
enoughnumberofelementsofthesequenceareconsideredisoneofthesimplest,andmostcommonones.
Weakcorrelationsbetweensuccessivesamplesisalsooftendesirable/necessary.
SawilowskyliststhecharacteristicsofahighqualityMonteCarlosimulation:[42]
the(pseudorandom)numbergeneratorhascertaincharacteristics(e.g.,along"period"beforethe
sequencerepeats)
the(pseudorandom)numbergeneratorproducesvaluesthatpasstestsforrandomness
thereareenoughsamplestoensureaccurateresults
thepropersamplingtechniqueisused
thealgorithmusedisvalidforwhatisbeingmodeled
itsimulatesthephenomenoninquestion.
Pseudorandomnumbersamplingalgorithmsareusedtotransformuniformlydistributedpseudorandom
numbersintonumbersthataredistributedaccordingtoagivenprobabilitydistribution.
Lowdiscrepancysequencesareoftenusedinsteadofrandomsamplingfromaspaceastheyensureeven
coverageandnormallyhaveafasterorderofconvergencethanMonteCarlosimulationsusingrandomor
pseudorandomsequences.MethodsbasedontheirusearecalledquasiMonteCarlomethods.
MonteCarlosimulationversus"whatif"scenarios
TherearewaysofusingprobabilitiesthataredefinitelynotMonteCarlosimulationsforexample,
deterministicmodelingusingsinglepointestimates.Eachuncertainvariablewithinamodelisassigneda
bestguessestimate.Scenarios(suchasbest,worst,ormostlikelycase)foreachinputvariablearechosen
andtheresultsrecorded.[44]
Bycontrast,MonteCarlosimulationssamplefromaprobabilitydistributionforeachvariabletoproduce
hundredsorthousandsofpossibleoutcomes.Theresultsareanalyzedtogetprobabilitiesofdifferent
outcomesoccurring.[45]Forexample,acomparisonofaspreadsheetcostconstructionmodelrunusing
traditionalwhatifscenarios,andthenrunningthecomparisonagainwithMonteCarlosimulationand
triangularprobabilitydistributionsshowsthattheMonteCarloanalysishasanarrowerrangethanthewhat
ifanalysis.Thisisbecausethewhatifanalysisgivesequalweighttoallscenarios(seequantifying
uncertaintyincorporatefinance),whiletheMonteCarlomethodhardlysamplesintheverylowprobability
regions.Thesamplesinsuchregionsarecalled"rareevents".
Applications
MonteCarlomethodsareespeciallyusefulforsimulatingphenomenawithsignificantuncertaintyininputs
andsystemswithalargenumberofcoupleddegreesoffreedom.Areasofapplicationinclude:
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Physicalsciences
Seealso:MonteCarlomethodinstatisticalphysics
MonteCarlomethodsareveryimportantincomputationalphysics,physicalchemistry,andrelatedapplied
fields,andhavediverseapplicationsfromcomplicatedquantumchromodynamicscalculationstodesigning
heatshieldsandaerodynamicformsaswellasinmodelingradiationtransportforradiationdosimetry
calculations.[46][47][48]InstatisticalphysicsMonteCarlomolecularmodelingisanalternativeto
computationalmoleculardynamics,andMonteCarlomethodsareusedtocomputestatisticalfieldtheories
ofsimpleparticleandpolymersystems.[23][49]QuantumMonteCarlomethodssolvethemanybody
problemforquantumsystems.[3][4][15]Inexperimentalparticlephysics,MonteCarlomethodsareusedfor
designingdetectors,understandingtheirbehaviorandcomparingexperimentaldatatotheory.In
astrophysics,theyareusedinsuchdiversemannersastomodelbothgalaxyevolution[50]andmicrowave
radiationtransmissionthrougharoughplanetarysurface.[51]MonteCarlomethodsarealsousedinthe
ensemblemodelsthatformthebasisofmodernweatherforecasting.
Engineering
MonteCarlomethodsarewidelyusedinengineeringforsensitivityanalysisandquantitativeprobabilistic
analysisinprocessdesign.Theneedarisesfromtheinteractive,colinearandnonlinearbehavioroftypical
processsimulations.Forexample,
Inmicroelectronicsengineering,MonteCarlomethodsareappliedtoanalyzecorrelatedand
uncorrelatedvariationsinanaloganddigitalintegratedcircuits.
Ingeostatisticsandgeometallurgy,MonteCarlomethodsunderpinthedesignofmineralprocessing
flowsheetsandcontributetoquantitativeriskanalysis.
Inwindenergyyieldanalysis,thepredictedenergyoutputofawindfarmduringitslifetimeis
calculatedgivingdifferentlevelsofuncertainty(P90,P50,etc.)
impactsofpollutionaresimulated[52]anddieselcomparedwithpetrol.[53]
InFluidDynamics,inparticularRarefiedGasDynamics,wheretheBoltzmannequationissolvedfor
finiteKnudsennumberfluidflowsusingtheDirectSimulationMonteCarlo[54]methodin
combinationwithhighlyefficientcomputationalalgorithms.[55]
Inautonomousrobotics,MonteCarlolocalizationcandeterminethepositionofarobot.Itisoften
appliedtostochasticfilterssuchastheKalmanfilterorParticlefilterthatformstheheartofthe
SLAM(SimultaneousLocalizationandMapping)algorithm.
Intelecommunications,whenplanningawirelessnetwork,designmustbeprovedtoworkforawide
varietyofscenariosthatdependmainlyonthenumberofusers,theirlocationsandtheservicesthey
wanttouse.MonteCarlomethodsaretypicallyusedtogeneratetheseusersandtheirstates.The
networkperformanceisthenevaluatedand,ifresultsarenotsatisfactory,thenetworkdesigngoes
throughanoptimizationprocess.
Inreliabilityengineering,onecanuseMonteCarlosimulationtogeneratemeantimebetween
failuresandmeantimetorepairforcomponents.
InsignalprocessingandBayesianinference,particlefiltersandsequentialMonteCarlotechniques
areaclassofmeanfieldparticlemethodsforsamplingandcomputingtheposteriordistributionofa
signalprocessgivensomenoisyandpartialobservationsusinginteractingempiricalmeasures.
Computationalbiology
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MonteCarlomethodsareusedinvariousfieldsofcomputationalbiology,forexampleforBayesian
inferenceinphylogeny,orforstudyingbiologicalsystemssuchasgenomes,proteins,[56]ormembranes.[57]
Thesystemscanbestudiedinthecoarsegrainedorabinitioframeworksdependingonthedesired
accuracy.Computersimulationsallowustomonitorthelocalenvironmentofaparticularmoleculetoseeif
somechemicalreactionishappeningforinstance.Incaseswhereitisnotfeasibletoconductaphysical
experiment,thoughtexperimentscanbeconducted(forinstance:breakingbonds,introducingimpuritiesat
specificsites,changingthelocal/globalstructure,orintroducingexternalfields).
Computergraphics
PathTracing,occasionallyreferredtoasMonteCarloRayTracing,rendersa3Dscenebyrandomlytracing
samplesofpossiblelightpaths.Repeatedsamplingofanygivenpixelwilleventuallycausetheaverageof
thesamplestoconvergeonthecorrectsolutionoftherenderingequation,makingitoneofthemost
physicallyaccurate3Dgraphicsrenderingmethodsinexistence.
Appliedstatistics
Inappliedstatistics,MonteCarlomethodsaregenerallyusedfortwopurposes:
1. Tocomparecompetingstatisticsforsmallsamplesunderrealisticdataconditions.AlthoughTypeI
errorandpowerpropertiesofstatisticscanbecalculatedfordatadrawnfromclassicaltheoretical
distributions(e.g.,normalcurve,Cauchydistribution)forasymptoticconditions(i.e,infinitesample
sizeandinfinitesimallysmalltreatmenteffect),realdataoftendonothavesuchdistributions.[58]
2. Toprovideimplementationsofhypothesisteststhataremoreefficientthanexacttestssuchas
permutationtests(whichareoftenimpossibletocompute)whilebeingmoreaccuratethancritical
valuesforasymptoticdistributions.
MonteCarlomethodsarealsoacompromisebetweenapproximaterandomizationandpermutationtests.
Anapproximaterandomizationtestisbasedonaspecifiedsubsetofallpermutations(whichentails
potentiallyenormoushousekeepingofwhichpermutationshavebeenconsidered).TheMonteCarlo
approachisbasedonaspecifiednumberofrandomlydrawnpermutations(exchangingaminorlossin
precisionifapermutationisdrawntwiceormorefrequentlyfortheefficiencyofnothavingtotrack
whichpermutationshavealreadybeenselected).
Artificialintelligenceforgames
Mainarticle:MonteCarlotreesearch
MonteCarlomethodshavebeendevelopedintoatechniquecalledMonteCarlotreesearchthatisuseful
forsearchingforthebestmoveinagame.Possiblemovesareorganizedinasearchtreeandalargenumber
ofrandomsimulationsareusedtoestimatethelongtermpotentialofeachmove.Ablackboxsimulator
representstheopponent'smoves.[59]
TheMonteCarloTreeSearch(MCTS)methodhasfoursteps:[60]
1. Startingatrootnodeofthetree,selectoptimalchildnodesuntilaleafnodeisreached.
2. Expandtheleafnodeandchooseoneofitschildren.
3. Playasimulatedgamestartingwiththatnode.
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4. Usetheresultsofthatsimulatedgametoupdatethenodeanditsancestors.
Theneteffect,overthecourseofmanysimulatedgames,isthatthevalueofanoderepresentingamove
willgoupordown,hopefullycorrespondingtowhetherornotthatnoderepresentsagoodmove.
MonteCarloTreeSearchhasbeenusedsuccessfullytoplaygamessuchasGo,[61]Tantrix,[62]
Battleship,[63]Havannah,[64]andArimaa.[65]
Seealso:ComputerGo
Designandvisuals
MonteCarlomethodsarealsoefficientinsolvingcoupledintegraldifferentialequationsofradiationfields
andenergytransport,andthusthesemethodshavebeenusedinglobalilluminationcomputationsthat
producephotorealisticimagesofvirtual3Dmodels,withapplicationsinvideogames,architecture,design,
computergeneratedfilms,andcinematicspecialeffects.[66]
Financeandbusiness
Seealso:MonteCarlomethodsinfinance,QuasiMonteCarlomethodsinfinance,MonteCarlo
methodsforoptionpricing,Stochasticmodelling(insurance)andStochasticassetmodel
MonteCarlomethodsinfinanceareoftenusedtoevaluateinvestmentsinprojectsatabusinessunitor
corporatelevel,ortoevaluatefinancialderivatives.Theycanbeusedtomodelprojectschedules,where
simulationsaggregateestimatesforworstcase,bestcase,andmostlikelydurationsforeachtaskto
determineoutcomesfortheoverallproject.MonteCarlomethodsarealsousedinoptionpricing,default
riskanalysis.[67][68][69]
Useinmathematics
Ingeneral,MonteCarlomethodsareusedinmathematicstosolvevariousproblemsbygeneratingsuitable
randomnumbers(seealsoRandomnumbergeneration)andobservingthatfractionofthenumbersthat
obeyssomepropertyorproperties.Themethodisusefulforobtainingnumericalsolutionstoproblemstoo
complicatedtosolveanalytically.ThemostcommonapplicationoftheMonteCarlomethodisMonteCarlo
integration.
Integration
Mainarticle:MonteCarlointegration
Deterministicnumericalintegrationalgorithmsworkwellinasmallnumberofdimensions,butencounter
twoproblemswhenthefunctionshavemanyvariables.First,thenumberoffunctionevaluationsneeded
increasesrapidlywiththenumberofdimensions.Forexample,if10evaluationsprovideadequateaccuracy
inonedimension,then10100pointsareneededfor100dimensionsfartoomanytobecomputed.Thisis
calledthecurseofdimensionality.Second,theboundaryofamultidimensionalregionmaybevery
complicated,soitmaynotbefeasibletoreducetheproblemtoaniteratedintegral.[70]100dimensionsisby
nomeansunusual,sinceinmanyphysicalproblems,a"dimension"isequivalenttoadegreeoffreedom.
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MonteCarlomethodsprovideawayoutofthisexponentialincreaseincomputationtime.Aslongasthe
functioninquestionisreasonablywellbehaved,itcanbeestimatedbyrandomlyselectingpointsin100
dimensionalspace,andtakingsomekindofaverageofthefunctionvaluesatthesepoints.Bythecentral
limittheorem,thismethoddisplays
convergencei.e.,quadruplingthenumberofsampledpoints
halvestheerror,regardlessofthenumberofdimensions.[70]
Arefinementofthismethod,knownasimportancesamplinginstatistics,involvessamplingthepoints
randomly,butmorefrequentlywheretheintegrandislarge.Todo
thispreciselyonewouldhavetoalreadyknowtheintegral,butone
canapproximatetheintegralbyanintegralofasimilarfunctionor
useadaptiveroutinessuchasstratifiedsampling,recursivestratified
sampling,adaptiveumbrellasampling[71][72]ortheVEGAS
algorithm.
Asimilarapproach,thequasiMonteCarlomethod,useslow
discrepancysequences.Thesesequences"fill"theareabetterand
samplethemostimportantpointsmorefrequently,soquasiMonte
Carlomethodscanoftenconvergeontheintegralmorequickly.
Anotherclassofmethodsforsamplingpointsinavolumeisto
simulaterandomwalksoverit(MarkovchainMonteCarlo).Such
methodsincludetheMetropolisHastingsalgorithm,Gibbs
sampling,WangandLandaualgorithm,andinteractingtypeMCMC
methodologiessuchastheSequentialMonteCarlosamplers.[73]
MonteCarlointegrationworksby
comparingrandompointswiththe
valueofthefunction
Simulationandoptimization
Mainarticle:Stochasticoptimization
Anotherpowerfulandverypopularapplicationforrandomnumbers
innumericalsimulationisinnumericaloptimization.Theproblem
istominimize(ormaximize)functionsofsomevectorthatoftenhas
alargenumberofdimensions.Manyproblemscanbephrasedin
thisway:forexample,acomputerchessprogramcouldbeseenas
tryingtofindthesetof,say,10movesthatproducesthebest
Errorsreducebyafactorof
evaluationfunctionattheend.Inthetravelingsalesmanproblemthe
goalistominimizedistancetraveled.Therearealsoapplicationsto
engineeringdesign,suchasmultidisciplinarydesignoptimization.Ithasbeenappliedwithquasione
dimensionalmodelstosolveparticledynamicsproblemsbyefficientlyexploringlargeconfigurationspace.
Thetravelingsalesmanproblemiswhatiscalledaconventionaloptimizationproblem.Thatis,allthefacts
(distancesbetweeneachdestinationpoint)neededtodeterminetheoptimalpathtofollowareknownwith
certaintyandthegoalistorunthroughthepossibletravelchoicestocomeupwiththeonewiththelowest
totaldistance.However,let'sassumethatinsteadofwantingtominimizethetotaldistancetraveledtovisit
eachdesireddestination,wewantedtominimizethetotaltimeneededtoreacheachdestination.Thisgoes
beyondconventionaloptimizationsincetraveltimeisinherentlyuncertain(trafficjams,timeofday,etc.).
Asaresult,todetermineouroptimalpathwewouldwanttousesimulationoptimizationtofirst
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understandtherangeofpotentialtimesitcouldtaketogofromonepointtoanother(representedbya
probabilitydistributioninthiscaseratherthanaspecificdistance)andthenoptimizeourtraveldecisionsto
identifythebestpathtofollowtakingthatuncertaintyintoaccount.
Inverseproblems
Probabilisticformulationofinverseproblemsleadstothedefinitionofaprobabilitydistributioninthe
modelspace.Thisprobabilitydistributioncombinespriorinformationwithnewinformationobtainedby
measuringsomeobservableparameters(data).As,inthegeneralcase,thetheorylinkingdatawithmodel
parametersisnonlinear,theposteriorprobabilityinthemodelspacemaynotbeeasytodescribe(itmaybe
multimodal,somemomentsmaynotbedefined,etc.).
Whenanalyzinganinverseproblem,obtainingamaximumlikelihoodmodelisusuallynotsufficient,aswe
normallyalsowishtohaveinformationontheresolutionpowerofthedata.Inthegeneralcasewemay
havealargenumberofmodelparameters,andaninspectionofthemarginalprobabilitydensitiesofinterest
maybeimpractical,orevenuseless.Butitispossibletopseudorandomlygeneratealargecollectionof
modelsaccordingtotheposteriorprobabilitydistributionandtoanalyzeanddisplaythemodelsinsucha
waythatinformationontherelativelikelihoodsofmodelpropertiesisconveyedtothespectator.Thiscan
beaccomplishedbymeansofanefficientMonteCarlomethod,evenincaseswherenoexplicitformulafor
theaprioridistributionisavailable.
Thebestknownimportancesamplingmethod,theMetropolisalgorithm,canbegeneralized,andthisgives
amethodthatallowsanalysisof(possiblyhighlynonlinear)inverseproblemswithcomplexapriori
informationanddatawithanarbitrarynoisedistribution.[74][75]
Petroleumreservoirmanagement
MonteCarlomethodsareverypopularinhydrocarbonreservoirmanagementinthecontextofnonlinear
inverseproblems.Thisincludesgeneratingcomputationalmodelsofoilandgasreservoirsforconsistency
withobservedproductiondata.Forthegoalofdecisionmakinganduncertaintyassessment,MonteCarlo
methodsareusedforgeneratingmultiplegeologicalrealizations.[76]
Inpopularculture
TheMonteCarloMethod,the1998albumbythesouthernCaliforniaindierockbandNothing
PaintedBlue.(Scat.1998).
Seealso
AuxiliaryfieldMonteCarlo
BiologyMonteCarlomethod
ComparisonofriskanalysisMicrosoftExceladdins
DirectsimulationMonteCarlo
DynamicMonteCarlomethod
KineticMonteCarlo
Meanfieldparticlemethods
Particlefilter
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ListofsoftwareforMonteCarlomolecularmodeling
MonteCarlomethodforphotontransport
MonteCarlomethodsforelectrontransport
Morrismethod
Geneticalgorithms
QuasiMonteCarlomethod
Sobolsequence
Notes
1. Kroese,D.P.Brereton,T.Taimre,T.Botev,Z.I.(2014)."WhytheMonteCarlomethodissoimportant
today".WIREsComputStat6:386392.doi:10.1002/wics.1314(https://dx.doi.org/10.1002%2Fwics.1314).
2. Hubbard2009
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5. "SequentialMonteCarlosamplersP.DelMoralA.DoucetA.Jasra2006JournaloftheRoyalStatistical
Society:SeriesB(StatisticalMethodology)WileyOnlineLibrary"
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Retrieved20150611.
6. Kalos&Whitlock2008
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17. DelMoral,PierreMiclo,Laurent(2000)."AMoranparticlesystemapproximationofFeynmanKacformulae."
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