i-Maze

An Academic Festival
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Approximation of pi using the Monte Carlo Method

Dr. W.U.Khan Palash Kar

Department of Computer Science

Shri Govindram Institute of Technology and Science
Indore
Abstract

Numerical methods that are known as Monte Carlo methods can be loosely
described as statistical simulation methods, where statistical simulation is defined
in quite general terms to be any method that utilizes sequences of random
numbers to perform the simulation.
This paper finds a way to approximate the value of pi using the Monte Carlo
method. We have used a unit circle (radius=1) within a square with sides equal to
2.Using the probability of a point to lie inside the circle when picked randomly
from the points inside the square we can approximate the value of pi.
A c-program is also provided which models the method and provides a value of
pi correct upto 3 to 4 places of decimal, the only limiting factor being the discrete
representation of real Nos. in a computer rather than the method itself.
Introduction to Monte Carlo Methods
Numerical methods that are known as Monte Carlo methods can be loosely described as
statistical simulation methods, where statistical simulation is defined in quite general
terms to be any method that utilizes sequences of random numbers to perform the
simulation. Monte Carlo methods have been used for centuries, but only in the past
several decades has the technique gained the status of a full-fledged numerical method
capable of addressing the most complex applications. The name ``Monte Carlo'' was
coined by Metropolis (inspired by 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.
Monte Carlo is now used routinely in many diverse fields, from the simulation of
complex physical phenomena such as radiation transport in the earth's atmosphere and
the simulation of the esoteric subnuclear processes in high energy physics experiments,
to the mundane, such as the simulation of a Bingo game or the outcome of Monty Hall's
vexing offer to the contestant in ``Let's Make a Deal.'' The analogy of Monte Carlo
methods to games of chance is a good one, but the ``game'' is a physical system, and the
outcome of the game is not a pot of money or stack of chips (unless simulated) but rather
a solution to some problem. The ``winner'' is the scientist, who judges the value of his
results on their intrinsic worth, rather than the extrinsic worth of his holdings.
Statistical simulation methods may be contrasted to conventional numerical
discretization methods, which typically are applied to ordinary or partial differential
equations that describe some underlying physical or mathematical system. In many
applications of Monte Carlo, the physical process is simulated directly, and there is no
need to even write down the differential equations that describe the behavior of the
system. The only requirement is that the physical (or mathematical) system be described
by probability density functions (pdf's), which will be discussed in more detail later in
this chapter. For now, we will assume that the behavior of a system can be described by
pdf's. Once the pdf's are known, the Monte Carlo simulation can proceed by random
sampling from the pdf's. Many simulations are then performed (multiple ``trials'' or
``histories'') and the desired result is taken as an average over the number of observations
(which may be a single observation or perhaps millions of observations). In many
practical applications, one can predict the statistical error (the ``variance'') in this average
result, and hence an estimate of the number of Monte Carlo trials that are needed to
achieve a given error.
Figure 1 illustrates the idea of Monte Carlo, or statistical, simulation as applied to an
arbitrary physical system. Assuming that the evolution of the physical system can be
described by probability density functions (pdf's), then the Monte Carlo simulation can
proceed by sampling from these pdf's, which necessitates a fast and effective way to
generate random numbers uniformly distributed on the interval [0,1]. The outcomes of
these random samplings, or trials, must be accumulated or tallied in an appropriate
manner to produce the desired result, but the essential characteristic of Monte Carlo is
the use of random sampling techniques (and perhaps other algebra to manipulate the
outcomes) to arrive at a solution of the physical problem. In contrast, a conventional
numerical solution approach would start with the mathematical model of the physical
system, discretizing the differential equations and then solving a set of algebraic
equations for the unknown state of the system.

It should be kept in mind though that this general description of Monte Carlo methods
may not directly apply to some applications. It is natural to think that Monte Carlo
methods are used to simulate random, or stochastic, processes, since these can be
described by pdf's. However, this coupling is actually too restrictive because many
Monte Carlo applications have no apparent stochastic content, such as the evaluation of a
definite integral or the inversion of a system of linear equations. However, in these cases
and others, one can pose the desired solution in terms of pdf's, and while this
transformation may seem artificial, this step allows the system to be treated as a
stochastic process for the purpose of simulation and hence Monte Carlo methods can be
applied to simulate the system. Therefore, we take a broad view of the definition of
Monte Carlo methods and include in the Monte Carlo rubric all methods that involve
statistical simulation of some underlying system, whether or not the system represents a
real physical process.
To illustrate the diversity of Monte Carlo methods, Figure 2 lists applications that have
been addressed with statistical simulation techniques. As can be seen, the range of
applications is enormous, from the simulation of galactic formation to quantum
chromodynamics to the solution of systems of linear equations.
Major Components of a Monte Carlo Algorithm
Given our definition of Monte Carlo, let us now describe briefly the major components
of a Monte Carlo method. These components comprise the foundation of most Monte
Carlo applications, and the following sections will explore them in more detail. An
understanding of these major components will provide a sound foundation for the reader
to construct his or her own Monte Carlo method, although of course the physics and
mathematics of the specific application are well beyond the scope of this chapter. The
primary components of a Monte Carlo simulation method include the following:
• Probability distribution functions (pdf's) - the physical (or mathematical) system
must be described by a set of pdf's.
• Random number generator - a source of random numbers uniformly distributed on
the unit interval must be available.
• Sampling rule - a prescription for sampling from the specified pdf's, assuming the
availability of random numbers on the unit interval, must be given.
• Scoring (or tallying) - the outcomes must be accumulated into overall tallies or
scores for the quantities of interest.
• Error estimation - an estimate of the statistical error (variance) as a function of the
number of trials and other quantities must be determined.
• Variance reduction techniques - methods for reducing the variance in the estimated
solution to reduce the computational time for Monte Carlo simulation
• Parallelization and vectorization - algorithms to allow Monte Carlo methods to be
implemented efficiently on advanced computer architectures.

History of Monte Carlo method

The method is called after the city in the Monaco principality, because of a roulette, a
simple random number generator. The name and the systematic development of Monte
Carlo methods date from about 1944.
There are however a number of isolated and undeveloped instances on much earlier
occasions.
For example, in the second half of the nineteenth century a number of people performed
experiments, in which they threw a needle in a haphazard manner onto a board ruled
with parallel straight lines and inferred the value of PI = 3.14… from observations of the
number of intersections between needle and lines.
In 1899 Lord Rayleigh showed that a one-dimensional random walk without absorbing
barriers could provide an approximate solution to a parabolic differential equation.
In 1931 Kolmogorov showed the relationship between Markov stochastic processes and
certain integro-differential equations.
In early part of the twentieth century, British statistical schools indulged in a fair amount
of unsophisticated Monte Carlo work. Most of this seems to have been of didactic
character and rarely used for research or discovery. Only on a few rare occasions was the
emphasis on original discovery rather than comforting verification. In 1908 Student
(W.S. Gosset) used experimental sampling to help him towards his discovery of the
distribution of the correlation coefficient. In the same year Student also used sampling to
bolster his faith in his so-called t-distribution, which he had derived by a somewhat
shaky and incomplete theoretical analysis.
The real use of Monte Carlo methods as a research tool stems from work on the atomic
bomb during the second world war. This work involved a direct simulation of the
probabilistic problems concerned with random neutron diffusion in fissile material; but
even at an early stage of these investigations, von Neumann and Ulam refined this
particular " Russian roulette" and "splitting" methods. However, the systematic
development of these ideas had to await the work of Harris and Herman Kahn in 1948.
About 1948 Fermi, Metropolis, and Ulam obtained Monte Carlo estimates for the
eigenvalues of Schrodinger equation.
In about 1970, the newly developing theory of computational complexity began to
provide a more precise and persuasive rationale for employing the Monte Carlo method.
The theory identified a class of problems for which the time to evaluate the exact
solution to a problem within the class grows, at least, exponentially with M. The
question to be resolved was whether or not the Monte Carlo method could estimate the
solution to a problem in this intractable class to within a specified statistical accuracy in
time bounded above by a polynomial in M. Numerous examples now support this
contention. Karp (1985) shows this property for estimating reliability in a planar
multiterminal network with randomly failing edges. Dyer (1989) establish it for
estimating the volume of a convex body in M-dimensional Euclidean space. Broder
(1986) and Jerrum and Sinclair (1988) establish the property for estimating the
permanent of a matrix or, equivalently, the number of perfect matchings in a bipartite
graph.

How to calculate
We have to look at the unit circle (radius=1) within a square with sides equal to 2 (see
figure 1). Now if we pick a random point (x, y) were both x and y are between -1..1, the
probability of that
this random point lies inside the unit circle is given as the proportion between the area of
the unit circle and the square:

If we pick a random point N times and M of those times the point lies inside the unit
circle, the probability of that a random point lies inside the unit circle is given as:
Where the dot indicates that this is a discreet distribution (because M and N are integers).
But if N becomes very large (theoretically infinite), the two probabilities will become
equal and we can write:

Programming
As you can see in the final formula for Pi, the precision (number of digits) depends on
how many times you pick a point. The greater N and M are the more digits you get.
However, the discrete representation of real numbers in a computer is also a limiting
factor for the precision of this method. Because we only have a finite number of points
(1019 for 32 bits) to choose from, we actually approximate a rational number close to pi,
rather than pi itself!
An actual c-program is provided in which we have modeled the method to approximate
the value of pi. The value of pi obtained is correct upto 3 places of decimal with
n=1000000 and with n=100000000 it is obtained correct upto 4 to 5 places of decimal.
Higher accuracy may be obtained by taking a higher value of n constrained by the
architecture of the computer.

For statistics sake the value of pi obtained with n=100000 was 3.139640, that with
n=1000000 was 3.140545 and the one obtained with n=100000000 was 3.141554 correct
upto 4 decimal places.
The Program:

#include<stdio.h>
#include<math.h>
#include<conio.h>
#include<time.h>
#include<stdlib.h>

#define LIMIT 100000000 //max value of n

void main(){

double mypi,x,y ;
int minus ; // 1 for pos., 2 for neg.
long int m,n ;
time_t t;

n = 0;
m = 0;
 srand((unsigned) time(&t));
clrscr();
do{
n++;
x = (rand()/(double)RAND_MAX); //pick a random X between
0..1
minus = 1+(rand()/(double)RAND_MAX);//pick a sign for X
switch (minus) {
case 1 : x = x;
case 2 : x = -1*x;
}
y = rand()/(double)RAND_MAX; //pick a random Y between
0..1
minus = 1+rand()/(double)RAND_MAX; //pick a sign for Y
switch (minus) {
case 1 : x = x;
case 2 : x = -1*x;
}
if (pow(x,2)+pow(y,2) < 1)
m++; //the point is inside the unit circle
mypi = 4.0*m/n; //calculate pi
if (n % (LIMIT / 1000) == 0) {
gotoxy(1,1);
printf("X:%f ",x);
printf("Y:%f ",y);
printf("n:%ld ",n);
 printf("m:%ld ",m);
printf(" - ");
printf("PI:%f ",mypi);
}
}
while (n != LIMIT);
getch();
}