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Chapter 6

The document discusses the Monte Carlo method, which uses randomness to solve deterministic problems. It can be used for optimization, numerical integration, and generating probability distributions. The Monte Carlo method repeats random sampling to obtain numerical results. It then discusses various applications of the Monte Carlo method in fields like physics, engineering, biology, graphics, games, search and rescue, and finance.

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MD HOSSAIN
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36 views

Chapter 6

The document discusses the Monte Carlo method, which uses randomness to solve deterministic problems. It can be used for optimization, numerical integration, and generating probability distributions. The Monte Carlo method repeats random sampling to obtain numerical results. It then discusses various applications of the Monte Carlo method in fields like physics, engineering, biology, graphics, games, search and rescue, and finance.

Uploaded by

MD HOSSAIN
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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CHAPTER 6

MONTE CARLO METHOD


INTRODUCTION
Monte Carlo methods (or Monte Carlo experiments) are a broad
class of computational algorithms that rely on repeated random 
sampling to obtain numerical results.

Their essential idea is using randomness to solve problems that might


be deterministic in principle. They are often used in physical and 
mathematical problems and are most useful when it is difficult or
impossible to use other approaches.

Monte Carlo methods are mainly used in three distinct problem


classes: optimization, numerical integration, and generating draws from a 
probability distribution.
 Monte Carlo methods vary, but tend to follow a particular pattern:
 Define a domain of possible inputs.

 Generate inputs randomly from a probability distribution over the

domain.
 Perform a deterministic computation on the inputs.

 Aggregate the results.


For example, consider a circle inscribed in a unit square. Given that the circle
and the square have a ratio of areas that is π/4, the value of π can be
approximated using a Monte Carlo method:
 Draw a square, then inscribe a circle within it.

 Uniformly scatter objects of uniform size over the square.

 Count the number of objects inside the circle and the total number of

objects.
 The ratio of the two counts is an estimate of the ratio of the two areas,

which is π/4. Multiply the result by 4 to estimate π.


 Sawilowsky lists the characteristics of a high quality
Monte Carlo simulation:
 the (pseudo-random) number generator has certain

characteristics (e.g., a long "period" before the


sequence repeats)
 the (pseudo-random) number generator produces
values that pass tests for randomness
 there are enough samples to ensure accurate results

 the proper sampling technique is used

 the algorithm used is valid for what is being model

 it simulates the phenomenon in question.


APPLICATIONS
Physical sciences

Monte Carlo methods are very important in computational physics, 


physical chemistry, and related applied fields, and have diverse
applications from complicated quantum chromodynamics calculations
to designing heat shields and aerodynamic forms as well as in
modeling radiation transport for radiation dosimetry calculations. 

In statistical
physics Monte Carlo molecular modeling is an alternative
to computational molecular dynamics, and Monte Carlo methods are
used to compute statistical field theories of simple particle and polymer
systems. Quantum Monte Carlo methods solve the many-body problem for
quantum systems.
APPLICATIONS
Physical sciences

In radiation materials science, the binary collision approximation for


simulating ion implantation is usually based on a Monte Carlo approach
to select the next colliding atom.

In experimental particle physics, Monte Carlo methods are used for


designing detectors, understanding their behavior and comparing
experimental data to theory.

In astrophysics, they are used in such diverse manners as to model


both galaxy evolution and microwave radiation transmission through a
rough planetary surface. Monte Carlo methods are also used in the 
ensemble models that form the basis of modern weather forecasting.
Engineering
Monte Carlo methods are widely used in engineering for sensitivity analysis
 and quantitative probabilistic analysis in process design. The need arises
from the interactive, co-linear and non-linear behavior of typical process
simulations. For example
In microelectronics engineering, Monte Carlo methods are applied to analyze
correlated and uncorrelated variations in analog and digital integrated circuits.
In geostatistics and geometallurgy, Monte Carlo methods underpin the design of 

mineral processing flowsheets and contribute to quantitative risk analysis.


In wind energy yield analysis, the predicted energy output of a wind farm during its

lifetime is calculated giving different levels of uncertainty


impacts of pollution are simulated and diesel compared with petrol.

In fluid dynamics, in particular rarefied gas dynamics, where the Boltzmann equation

is solved for finite Knudsen number fluid flows using the direct simulation Monte Carlo
method in combination with highly efficient computational algorithms.
 In autonomous robotics, Monte Carlo localization can determine the position
of a robot. It is often applied to stochastic filters such as the Kalman filter or 
particle filter that forms the heart of the SLAM (simultaneous localization
and mapping) algorithm.

 In telecommunications, when planning a wireless network, design must be


proved to work for a wide variety of scenarios that depend mainly on the
number of users, their locations and the services they want to use. Monte
Carlo methods are typically used to generate these users and their states.
The network performance is then evaluated and, if results are not
satisfactory, the network design goes through an optimization process.

 In reliability engineering, one can use Monte Carlo simulation to generate 


mean time between failures and mean time to repair for components.
 Computational biology

 Monte Carlo methods are used in various fields of computational biology, for
example for Bayesian inference in phylogeny, or for studying biological
systems such as genomes, proteins, or membranes. The systems can be
studied in the coarse-grained or ab initio frameworks depending on the
desired accuracy. Computer simulations allow us to monitor the local
environment of a particular molecule to see if some chemical reaction is
happening for instance. In cases where it is not feasible to conduct a
physical experiment, thought experiments can be conducted (for instance:
breaking bonds, introducing impurities at specific sites, changing the
local/global structure, or introducing external fields).
Computer graphics

Path tracing, occasionally referred to as Monte Carlo ray tracing,


renders a 3D scene by randomly tracing samples of possible light
paths. Repeated sampling of any given pixel will eventually cause the
average of the samples to converge on the correct solution of the 
rendering equation, making it one of the most physically accurate 3D
graphics rendering methods in existence.
Applied statistics

The standards for Monte Carlo experiments in statistics were set by Sawilowsky.[64]
[65] In applied statistics, Monte Carlo methods are generally used for two purposes:

To compare competing statistics for small samples under realistic data conditions.

Although type I error and power properties of statistics can be calculated for data


drawn from classical theoretical distributions (e.g., normal curve, Cauchy distribution
) for asymptotic conditions (i. e, infinite sample size and infinitesimally small
treatment effect), real data often do not have such distributions.[66]
To provide implementations of hypothesis tests that are more efficient than exact

tests such as permutation tests (which are often impossible to compute) while being
more accurate than critical values for asymptotic distributions.
To provide a random sample from the posterior distribution in Bayesian inference.

This sample then approximates and summarizes all the essential features of the
posterior.
Artificial intelligence for games

Monte Carlo methods have been developed into a technique called 


Monte-Carlo tree search that is useful for searching for the best move in a
game. Possible moves are organized in a search tree and a large number of
random simulations are used to estimate the long-term potential of each move.
A black box simulator represents the opponent's moves.[67]
The Monte Carlo tree search (MCTS) method has four steps:[68]

1. Starting at root node of the tree, select optimal child nodes until a leaf node is
reached.
2. Expand the leaf node and choose one of its children.
3. Play a simulated game starting with that node.
4. Use the results of that simulated game to update the node and its ancestors.
Design and visuals

Monte Carlo methods are also efficient in solving coupled integral differential
equations of radiation fields and energy transport, and thus these methods
have been used in global illumination computations that produce photo-realistic
images of virtual 3D models, with applications in video games, architecture, 
design, computer generated films, and cinematic special effects.[74]
Search and rescue

The US Coast Guard utilizes Monte Carlo methods within its computer


modeling software SAROPS in order to calculate the probable locations of
vessels during search and rescue operations. Each simulation can generate as
many as ten thousand data points which are randomly distributed based upon
provided variables.[75] Search patterns are then generated based upon
extrapolations of these data in order to optimize the probability of containment
(POC) and the probability of detection (POD), which together will equal an
overall probability of success (POS). Ultimately this serves as a practical
application of probability distribution in order to provide the swiftest and most
expedient method of rescue, saving both lives and resources.[76]
Finance and business
Monte Carlo methods in finance are often used to evaluate
investments in projects at a business unit or corporate level, or to
evaluate financial derivatives. They can be used to model project
schedules, where simulations aggregate estimates for worst-case,
best-case, and most likely durations for each task to determine
outcomes for the overall project. Monte Carlo methods are also used in
option pricing, default risk analysis

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