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    quantum mechanics

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    quantum mechanics

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
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    5 views270 pages

    RM1237

    Uploaded by

    Bheim Llona
    quantum mechanics

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    of 270
    Prepared Under Contract With ‘The U.S. Atomic Energy Conmission Contract No. AT(11-1) -135 Project Agreement No. 1 and the U.S. Air Force Project RAND RESEARCH MEMORANDUM APPLICATIONS OF MONTE CARLO Herman Kaha RM-1237-AEC 19 April 1954 Revised 27 April 1956 This is @ working poper. Because it may be expanded, modified, or withdrawn at ‘ony time, permission to quote oF reproduce must be obtained from RAND. The Views, conclusions, and recommendations expressed herein do not necessarily ‘reflect the offical views or policies of the United States Air Force. DISTRIBUTION RESTRICTIONS Copyright, 1956 " RN-1237-aE¢ 4-27-56 - iti - FOREWORD This document discusses the general principle of doing Monte Carlo calculations with particular emphasis on reducing the amount of work involved, It does not discuss, but for a few exceptions, relationships between probabilistic problens and deterministic ones, and how either can be chosen to model the other. More importantly, it does not include any important specific applications. Both of these other subjects are widely discussed in Monte Carlo literature by many people. At a later date the author hopes to put out a book on the subject which will supersede this report and include applications. The work that preceded this report has been supported by the U.S. Aix Force and several laboratories of the A.E.C. In addition, I would like to express my appreciation to the Reactor Division of the A.E.C, for their sympathetic and long range support of basic studies in the Monte Carle method. A short description of the Monte Carlo method can be given as follows. The expected score of a player in any reasonable game of chance, however complicated, can in principle be estimated by averaging the results of a large number of plays of the game. Such estimation can be rendered more efficient by various devices which replace the original game with another known to have the same expected score. The new game may lead to a more efficiént estimate by being less erratic, that is, having a score of lower variance or by being cheaper to play with the equipment on hand. RM-1237-ABC 4-27-56 There are obviously many problems about probability that can be viewed as problens of calculating the expected score of a game. Still more, there are problems that do not concern probability but are none the less equivalent for some purposes to the calculation of an expected score, The Monte Carlo method refers simply to the exploitation of these remarks. ‘The method has been extensively used by. statisticians and others under the name of Model Sampling. Many of the variance reducing techniques discussed in this report have been developed by statisticians for use in Survey Sampling. John von Neumann and Stanley Ulam seem to be mainly responsi- ble, both as practitioners and propagandists, for the present widespread use in physics and engineering. They also seen to have been the first to have advocated the idea of systenatically inverting the usual situation and treating determinate mathematical problems by first finding a probabilistic analogue and then solving this analogue by some experimental sampling procedures, In this report though, most of the applications are to problens which have been derived from probabilistic situations. The name of Monte Carlo is used rather than Model Sampling partly because we wish to differen~ tiate the relatively sophisticated sampling techniques used in the former from the Straightforward approach that seems to be customary in the usual applications of the latter, and partly because the more picturesque name of Monte Carlo has just about replaced -its predecessor in physical applications. RM-1237-AEC 4-27-56 In writing a report of this nature it is difficult to apportion credits and acknowledgments in a reasonable manner. The author has spent about half of his time between 1948 and 1952 on applications of the method. Some of the applications with which he has been concerned have been fairly large problens involving the collaboration of several organizations and many individuals, Because major emphasis has always been on physics or engineering, and not statistics, and also because most of the problens are classified, it is difficult to pinpoint many individual contributions. Therefore, except for Part I (inspired by John von Neumann) and for specific statistical suggestions, there will be almost no specific acknowledgments made. Instead, a simple listing of the individuals who have contributed to the problems upon which we learned how to do Monte Carlo will be given. The following either originated problems or collaborated on their design: Hans Bethe, Jim Coon, Robert Day, Walter Goad, Herbert Goldstein, Frederic de Hoffman, Frank Hoyt, Richard Latter, Louis Nelson, Lothar Nordheim, Milton Plesset, Fred Reines, Paul Stein, Edvard Teller, Robert Thomas and Carl Wahlske. I am indebted to the following for helpful discussions: George Brown, Herman Feschbach, Francis Friedman, Gerald Goertzel, Mario Juncosa, John von Neumann, Melvin Peisakoff, Leonard J. Savage, John W. Tukey and Theodore Welton. Most of the actual work of programming, coding and computing was done by Barbara Batchelder, Barbara Cohen, Ruth Ann Engvall, Lois Foster, Esther Gersten, Trwin Greenwald, Jean Hall, Cylde Hauff, RM-1237-AEC 4-27-56 Gas Herbert Hilton, Robert Johnson, Winifred Jonas, David Langfield, Don Madden, Wes Melahn, Cynthia Mercer, Leona Otfinoski, Josephine Powers, Frieda Rosenberg, Cff Shaw, and Charles Swift. Without their high morale, professional skill, and enthusiasm, it would have been impossible to have met many of ovr deadlines on the always capricious and sometimes malignant computing equipment available fron 1948 to 1952. Finally, an dnadequate thanks to Theodore Harris and Andrew Marshall, with whom the author has collaborated extensively and on whom he has always been able to lean for a learned opinion on statistics and probability. Some of the ideas in this report have Previously appeared in joint papers by then and the author. I would also like to thank Leonard J. Savage for reading an earlier version of this report and making prolific conments. This version doesn't show the full effect of his coments as I an saving many of them for a future book. INTRODVOTION ‘The Monte Carlo Method is concerned with the application random sampling to problens of applied mathenatics. While subtle ror difficult questions may arise in applications, most problens can be treated without using much statistical theory. Nevertheless statistical theory can be very helpful. This report presents an elenentary exposition of sone of the ideas and techniques that have proved useful in problens with which the author has been concerned. In this case, the word elementary implies that the author has tried to make the presentation intelligible to a mathematician, physicist, or engineer with only a slight formal background in probability theory. There will be a strong flavor of the "cookbook" about many selections. The author can only suggest, judicious skipping. It will be assuned that the reader has in intuitive notion of the idea of probability (even though philosophers may argue). That is, that he knows what is meant by the statement "The probability that a 'fairt coin lands heads up when tossed is 1/2," and that he knows and has had sone basic experience with the simplest rules of the calculus of probabiliti seb In any case most of the statistical ideas that are used will be presented or reviewed in the first two chapters. ‘1 These rules are of the following types. The probability that ‘ono or the other of two mutually exclusive events occurs ia the sum of the separate probabilities. The probability that two independent events ocour is the product of their separate probabilities, vic Chapters Ir. It. Appendices Le IL ur, La27=58 size TECHNIQUES OF MONTE CARLO TABLE OF CONTENTS ‘Techniques with Random Variables Evaluating Integrals Integral or Matrix Equations Generation of Peuedo-Random tunbe: Constrained Maximum of a Funetion The Variance Associated with Double Systematic Sampling PMAL237 AIC La2resé =i9s) PART I TECHNIQUES WITH RANDOM VARTABLES a 2 be Se TABLE OF CONTENTS Pandon Variables eee eee seer cece ‘Transformation of Randon Variables and their Realization «eeeeeeecees The Rejection Technique see eee eee Variations of the Easic Rejection Technigne Manipulations with Distributions 6.6. Brambles sss eee teeter eee vt) CoOGd0DDDO0GKd Table of Examples ++ ee eee eee Representations of Examples Considored References ++ eee eee ececcees -do otk +B +20 RAREIT=ADC Lat TeFE See I. TECHNIQUES WITH RAUDOM VARIAELES L._Random Variables In the following a randon variable (generelly dencted by a capital letter) will mean a numerical quantity (or quantities) associated with a gane of chance in such a way that as the various events or possible outcones of the gane occur, the randon variable takes on definite values. Thus one could associate a random variable C with the coin tossing process by saying that when a head cones up, C= 0, and when a tail cones up, C = 1. C then has a probability of 1/2 of being zero and 1/2 of being 1. All other values have zero probability. Associated with any randon variable X is a cumlative distri- bution function (c¢.def.) which will be called "F(x)". F(x) is defined as the probability that the randon variable X will assune values less than or equal to x, If F(x) is the integral, at least in sone regicns, of a function £(x), the randon variable is said to have a probability density then and f(x) is called the probability density function (p.d-f.). If F(x) makes a finite jump at sone point x,, there is a nonegero probability of x, occurring. Tus in the coin tossing 2» blem mentioned above F(c) = 0 c0, this is just. [ a+b . Since £ f(x)dx = 1 the above expression is just 1/oM. The probability of accepting some value the first tine is called the efficiency of the technique, because of its obvious economic implication for applications, and is denoted by E. 1B is the probability that the first value picked will be rejected. The probability that the process will fail nel tines and then succeed on the n“ trial is (14E)" Ez, The expected nunber of trials, i, is then (5) i RN-1237-aEC 4-27-56 eis ‘The principle of the rejection technique can te illustrated by the following diagran, f(x) —_—?> = a aed Figure 1 In Figure 1a rectangle of area bY encloses the p.d.f. f(x). ‘The shaded portion under f(x) has unit area. If a nunber of points are selected in the rectangle at random fron a uniforn distribution, but only those points saved that fall within the shaded portion, then the probability that any of these saved values lies between x and x + fx will be £(x)ix/o4. The fraction of points saved will be given by (shaded area)/(total area) or 1/bH. The rejection technique may be generalized as follows. Let n(x) and m(y) be pedefets and let (x) be an arbitrary function. Then 1, Select an x out of the p.d.f. n(x) 2, Selest andependentiy a y out of the pedete my) [e.det. u(y)] 3. If y< ix) accept x. Otherwise repeat steps 1 and 2. It is often computationally convenient to write the inequality ¥ = (x) in the form s(y) < t(x) where T(x) = 8" [eG] The @ priori probability of getting an x in the region (x, x + dx) is, of course, n(x)ix. The probability of accepting xy [Protabinity tint yc utxJ] , se [Ptei] . mereore, the RN-1237-AEC 4-27-56 ce probability of selecting an x in the region dx and accepting it is ¥ [FGx)] nGerax ‘The probability of getting any x at all on the first it: 2 E -f uf] alx)ox @ is By choosing m, n, and T appropriately it is usually possible to design a nunerically convenient and efficient process for selecting’ an x fron the padefe f(x) = “{[F(xj] nfx)/e. If, in a special case, ¥ is the sane as R, M is then the distribution of R, If also M(x) is bounded such that S(x)< 1, we can say u [atx)] = 1%) ‘The technique now becones: 1. Select an x out of the p.d.f. n(x) 2. Select an R £00), vhere K is larger thin or equal to the i £(x) naximm value of D2) , accept x. Otherwise repeat steps 3. IfRS Land 2. ‘The efficiency of the technique is now 1/K. Hence E can be equal bu irger i a R(x) If it happens to, but not larger than, the minimum value of tx) * ninimun value is know, than the that only a lower bound for ti flotency will be ese than At would have beens Since the areas under the curves f(x) and n(x) are the same, “tho requirenent that the efficiency be high (ises, close to 1) inposes @ serious restriction on n(x). One way to meet it is to choose n(x) “similar” to f(x). It must also be simple to select from, or there RM-1237-AEC 4-27-56 are would be no point in using a rejection technique. The choice of n(x) is a compromise between these two criteria. dations of the basic reject: techni In certain cases, realization of the variations mentioned below ray give rise to considerable savings in computing tine. 1s Select x out of n(x), ¥ out of m(y), and yp out of m,(y) and accept x if either yy ta = Day dmg Go) z into the form ng () The Ay here are, it 4s clear, the probability of getting 4 multiplied by the maximun value of T.(x). The A. must be larze enough RM-1237-AEC 4=27-56 ee Fy 00) to ansure thet <1. as before the efftetency ts 1/FAy an an efficient process 4s one in which the r,(x) vary but Little, ina sense. When the 7, (x) are constants then the SA, = 2 and the process is 100% efficient; it then just reduces to a convenient wey to sample from a p.dafe If the i's with relatively uniform r,(x) have large 4,'s while the ones with large variations have small Ayts, the process will still be efficients Sonctinee as a special case of the above, it is desirable to teke the n,(x) to be the same functions i.es, to break up f(x) into the form #(x) =F Ay, abo Te) DATO) ‘This is advantageous when it is difficult to find the maximum value of T(x), but relatively easy to find the maximun value of the individual terms. However, breaking up T(x) into separate terms always decreases the efficiency of the techniques A special case of this last situation ocours very frequently when the padafs f(x) ds fitted oy sections, For exanple if X61 f£(x)dx is the protability that the event x,

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