Monte Carlo Application

Rizwan Ahmed
Department of Nuclear Engineering
Pakistan Institute of Engineering and Applied Sciences
(PIEAS)
Contact: 3313, email: rizwanahmed@pieas.edu.pk

Moments and Central Moments
Discrete distributions
Binomial
Poisson

Distribution is
Normalized
mth order moment
mth central moment
1 ) (
0
=

=
n
x
x P

=
=
n
x
m m
x P x x E
0
) ( ) (

=
=
n
x
m m
x P x x E
0
) ( ) ( )) ((

=
= =
n
x
x xP x E
0
) ( ) (
Mean value
Moments and Central Moments
Continuous distributions
Exponential
Normal
Lognormal
Distribution is
Normalized
mth order moment
mth central moment
1 ) ( =
}
+

dx x f
dx x f x x E
m m
}
+

= ) ( ) (
dx x f x x E
m m
}
+

= ) ( ) ( ) ) ((
Mean value
dx x xf x E
}
+

= = ) ( ) (
Computation of Expected Value
Expected value


Monte Carlo Scheme
Sample N values of x from its cdf f(x)
Compute the average
N
x
dx x xf x E
N
i
i
}
=
+

= =
1
) ( ) (
N
x
x
N
i
i
=
>= =<
1

Computation of Moments
Define moment


Monte Carlo Scheme
Sample N values of x from its cdf f(x)
Compute the average
N
x
dx x f x x E
N
i
m
i
m m

}
=
+

= =
1
) ( ) (
N
x
x E
N
i
m
i
m

=
=
1
) (
Example: Monte Carlo Integration
Expectation value of a function
Expected value of function g(x)


Monte Carlo Scheme
Sample N values of x from its cdf f(x)
Compute the average
dx x f x g x g E
}
+

= ) ( ) ( )) ( (
N
x g
x g
N
i
i
=
>= <
1
) (
) (
Covariance & Correlation
The covariance is a measure of the independence of two random variables x
and y:
> < > < > < = y x y x y x } , cov{
Zero covariance does not imply independence of random variables.
Another quantity related to covariance is the correlation coefficient:
It is equal to zero when x and y are independent. Also,
} var{
} , cov{
2 2
x
x x x x
=
> < > < =
} var{ } var{
} , cov{
) , (
y x
y x
y x =
Its value is in between -1 and +1. Monte Carlo calculations try to take
advantage of the negative correlation as a measure of reducing the
variance.