Scribd
Upload
42 views33 pages

Montecarlo Integration

This document discusses Monte Carlo methods for simulation and numerical integration. Monte Carlo methods can be used when the underlying model is unknown or difficult to compute, or when inputs are unknown or uncertain. The key idea is to simulate random experiments and processes on a computer and collect statistics on the outputs. This allows estimating probabilities, areas, volumes, and integrals. The accuracy of estimates generally increases with the square root of the number of trials.

Uploaded by

danut horincas
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
42 views33 pages

Montecarlo Integration

This document discusses Monte Carlo methods for simulation and numerical integration. Monte Carlo methods can be used when the underlying model is unknown or difficult to compute, or when inputs are unknown or uncertain. The key idea is to simulate random experiments and processes on a computer and collect statistics on the outputs. This allows estimating probabilities, areas, volumes, and integrals. The accuracy of estimates generally increases with the square root of the number of trials.

Uploaded by

danut horincas
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 33

Monte Carlo Methods

and Area Estimates


CS3220 - Summer 2008
Jonathan Kaldor
Monte Carlo Methods
• In this course so far, we have assumed
(either explicitly or implicitly) that we have
some clear mathematical problem to solve
• Model to describe some physical process
(linear or nonlinear, maybe with some
simplifying assumptions)
Monte Carlo Methods
• Suppose we don’t have a good model for the
overall process, though (or we wish to
validate our model against the process).
How can we go about this?
• Suppose we can imitate an experiment
(trial, etc). Can we use this to draw
conclusions about the overall process?
Monte Carlo Methods
• If we can simulate the experiment on a
computer, we can change the data inputs and
observe the effects on the results
• In particular, if the experiment involves
some random chance, we can run it a
bunch of times and accumulate statistics
on the outputs
Monte Carlo Methods
• When we simulate a process on a computer
that involves random chance, that is known
as a Monte Carlo simulation
• One simulation run: particular choices for
each of the random choices.
Uses
• Whenever the underlying model is
unknown / difficult to compute
• Whenever the inputs are unknown (or are
known with a large amount of uncertainty)
Applications
• Particle Physics
• Physical Chemistry
• Finance
• Computer Graphics
Physically Based
Rendering
• Rendering an image requires computing the
light arriving at each point in the camera
• Light can arrive at the camera after bouncing
any number of times - we can look at one
set of bounces as a path of light
• Model can be expressed as a complex
differential-integral equation that can be very
difficult to evaluate
Physically Based
Rendering
• We can simulate it using a Monte Carlo
approach:
• Simulate a particular path for light
• Do this a bunch (a bunch!) of times
• In the limit, we will end up with the
average distribution of light in the scene
[Moon and Marschner, 2006]
A Simple Example
• Suppose we want to verify some basic rules
about probability with rolling a die
• In particular, what are the odds of rolling
two 1s in a row?
• Basic probability: 1/36 (1/6 chance of
rolling the first 1, another 1/6 chance for
the second 1), or p = 0.0278 chance
A Simple Example
• Monte Carlo experiment: roll a die twice,
count how many times we roll 1 twice in a
row. Divide the number of occurrences by
the total number of trials to give us the
probability of occurrence
• For 100 trials: 0.0200
For 1000 trials: 0.0310
For 10000 trials: 0.0293
For 100000 trials: 0.0278
A Simple Example
• We can already see some general properties
of Monte Carlo simulations
• Simulating each trial is relatively quick
• ... but we typically need a lot of trials to
converge to the correct answer (with only
4 digits of precision to boot!)
Computing Random
Numbers
• Monte Carlo simulations require a good
source of randomness
• What is randomness to begin with?
• Intuitively: no pattern in the numbers
• May also have some constraints on
distribution (either uniform or normally
distributed)
Computing Random
Numbers
• On (almost all) computers, the best we can
do is a pseudorandom sequence
• Called so because the process for
determining the next number is entirely
deterministic, although the resulting
sequence “looks” random
• We typically can provide a seed which
controls the initial starting point
Computing Random
Numbers
• That’s not to say that the pseudorandom
sequences we get are not random
• They can pass several tests of randomness
• Much more common problem: misuse of
random numbers by programmers that
makes them less random
Computing Random
Numbers
• An example: suppose we want to generate
random numbers uniformly distributed in a
circle with unit diameter
• Uniformly distributed: probability of
landing in a particular region depends only
on the area of the region (equal area
regions will have approximately equal
numbers of points inside)
Computing Random
Numbers
• Here are two algorithms
• 1.) Generate two random numbers r , r 1 2
uniformly in the unit square. If sqrt(r12 +
r22) ≤ 1, return the numbers; otherwise,
repeat.
• 2.) Generate two random numbers r and
1
r2 uniformly. Return r1/2 cos(2πr2) and
r2/2 sin(2πr2)
Computing Random
Numbers
• These algorithms look like they will both
generate points randomly in the circle... but
their characteristics are quite different
50% of points

Not 50% of area!

50% of points
Computing Random
Numbers
• When using randomness in our algorithms,
we need to be careful that we are using it
correctly
• In particular, that we dont destroy
randomness or distribution properties of
our sequence when manipulating them
Estimating Areas Via
Monte Carlo
• The previous discussion leads to a method
for estimating the area / volume of an
arbitrarily shaped object
• We only need to be able to test whether
or not a point is inside the object
Estimating Areas Via
Monte Carlo
• Procedure: generate a uniformly distributed
random point in some enclosing rectangle of
area A and test whether it is inside or
outside the object
• After n trials, we have p of our points inside
our object. The estimated area is then
p*A/n
Estimating Areas Via
Monte Carlo
Estimating Areas Via
Monte Carlo
• Why do we need uniformly distributed
points in order to get a good estimate of the
area / volume?
Estimating Area Via
Monte Carlo
• We can use this to compute an estimate for
the value of π in a similar way as well
• 10,000 trials: 3.1144
100,000 trials: 3.1385
Estimating Integrals Via
Monte Carlo
• We can also use Monte Carlo simulation to
estimate the value of integrals
• ∫01 f(x) dx ≈ 1/N ∑ f(xi)
where we have N uniformly distributed
random points in [0, 1]
Estimating Integrals Via
Monte Carlo
• Note that this is only over integral bounds
from 0 to 1. In general, we have an integral
over a to b
• 1/
(b-a) ∫a
b f(x) dx ≈ 1/N ∑ f(xi)
• Moving the weight to the other side, we get:
∫ab f(x) dx ≈ (b-a)/N ∑ f(xi)
Estimating Integrals Via
Monte Carlo
• This can be directly extended to multiple
integrals:

∫cd ∫ab f(x,y) dx dy ≈ (b-a)(c-d)/N ∑ f(xi, yi)


Estimating Integrals Via
Monte Carlo
• In general, this is an extremely slow way of
getting “good” estimates (at least in terms of
error)
• For integrals, the error is typically decreased
with the square root of N (that is, the error
is around 1/√N), which is usually nowhere
near good quadrature algorithms)
Estimating Integrals Via
Monte Carlo
• The benefit of Monte Carlo is with higher
dimension multiple integrals, and with
extremely complex integrals (like those in
rendering)
• It also provides an easy (but slow!) ground
truth to compare against approximations
• Rendering!

You might also like