Monte Carlo Methods: Stéphane Paltani

Monte Carlo
Methods
Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
Monte Carlo Methods random variables
Markov chains
Monte-Carlo
Error estimation
Stéphane Paltani Numerical
integration
ISDC Data Center for Astrophysics Optimization

Astronomical Observatory of the University of Geneva
Statistics Course for Astrophysicists, 2010–2011

Monte Carlo
Outline Methods
Stéphane Paltani
What are
Monte-Carlo
What are Monte-Carlo methods? methods?
Generation of
random variables
Generation of random variables Markov chains
Monte-Carlo
Error estimation
Markov chains Monte-Carlo Numerical
integration
Optimization
Error estimation
Numerical integration
Optimization
Monte Carlo
Caveat Methods
Stéphane Paltani
What are
Monte-Carlo
methods?
The presentation aims at being user-focused and at Generation of
presenting usable recipes random variables
Markov chains
Do not expect a fully mathematically rigorous description! Monte-Carlo
Error estimation
Numerical
integration
This has been prepared in the hope to be useful even in Optimization
the stand-alone version

Please provide me feedback with any misconception or
error you may find, and with any topic not addressed here
but which should be included
Monte Carlo
Outline Methods
Stéphane Paltani
What are Monte-Carlo methods? What are

Monte-Carlo
General concepts methods?
General concepts
Applications Applications
Simple examples
Simple examples Generation of

random variables
Markov chains
Generation of random variables Monte-Carlo
Error estimation
Numerical
Markov chains Monte-Carlo integration
Optimization
Error estimation
Optimization
Monte Carlo
General concepts Methods
Stéphane Paltani
Monte-Carlo methods: What are

Monte-Carlo
methods?
I have been invented in the context of the General concepts
Applications
development of the atomic bomb in the 1940’s Simple examples
I are a class of computational algorithms Generation of

random variables
I can be applied to vast ranges of problems Markov chains
Monte-Carlo
I are not a statistical tool Error estimation
I rely on repeated random sampling Numerical

integration
I provide generally approximate solutions Optimization
I are used in cases where analytical or numerical

solutions don’t exist or are too difficult to implement
I can be used by the Lazy ScientistTM even when an
analytical or numerical solution can be implemented
Monte Carlo
Overview of the method Methods
Stéphane Paltani
What are
Monte-Carlo
methods?
Monte-Carlo methods generally follow the following steps: General concepts

Applications
Simple examples
Generation of
1. Determine the statistical properties of possible inputs random variables
Markov chains
2. Generate many sets of possible inputs which follows Monte-Carlo
the above properties Error estimation
Numerical
3. Perform a deterministic calculation with these sets integration
4. Analyze statistically the results Optimization
√
The error on the results typically decreases as 1/ N
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
General concepts
Simple examples

random variables
Markov chains
Error estimation
Numerical
Optimization
Error estimation
Optimization
Monte Carlo
Numerical integration Methods
Stéphane Paltani
What are
Monte-Carlo
methods?
General concepts
Applications
Simple examples
Generation of
random variables
Markov chains
Monte-Carlo
Most problems can be solved by integration Error estimation
Monte-Carlo integration is the most common application Numerical

integration
of Monte-Carlo methods Optimization
Basic idea: Do not use a fixed grid, but random points,

because:
1. Curse of dimensionality: a fixed grid in D dimensions
requires N D points
2. The step size must be chosen first
Monte Carlo
Error estimation Methods
Stéphane Paltani
What are
Monte-Carlo
methods?
General concepts
Applications
Simple examples
Generation of
random variables
Given any arbitrary probability distribution and provided
Markov chains
one is able to sample properly the distribution with a Monte-Carlo
random variable (i.e., x ∼ f (x)), Monte-Carlo simulations Error estimation
can be used to: Numerical

integration
I determine the distribution properties (mean, Optimization
variance,. . . )
I determine confidence
R∞ intervals, i.e.
P(x > α) = α f (x)dx
I determine composition of distributions, i.e. given
P(x), find P(h(x)), h(x) = x 2 ; cos(x) − sin(x); . . .
Note that these are all integrals!
Monte Carlo
Optimization problems Methods
Stéphane Paltani
What are
Monte-Carlo
methods?
General concepts
Applications
Simple examples
Generation of
random variables
Numerical solutions to optimization problems incur the Markov chains
Monte-Carlo
risk of getting stuck in local minima.
Error estimation
Numerical
integration
Optimization
Monte-Carlo approach can alleviate the problem by

permitting random exit from the local minimum and find
another, hopefully better minimum
Monte Carlo
Numerical simulations Methods
Stéphane Paltani
What are
Monte-Carlo
methods?
General concepts
Applications
Simple examples
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
I Radiation transfer is Google-wise the main Optimization
astrophysical application of Monte-Carlo simulations

in astrophysics
I In particle physics and high-energy astrophysics,
many more physical processes can be simulated
Some physical processes are discretized and random by
nature, so Monte-Carlo is particularly adapted
Monte Carlo
Numerical simulations Methods
GEANT4 Stéphane Paltani
What are
Monte-Carlo
methods?
General concepts
Applications
Simple examples
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Optimization
GEANT4 is also used to determine the performance of

X-ray and gamma-ray detectors for astrophysics
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
General concepts
Simple examples

random variables
Markov chains
Error estimation
Numerical
Optimization
Error estimation
Optimization
Monte Carlo
Probability estimation Methods
Head vs tail probability Stéphane Paltani
What are
What is the probability to obtain either 3, 6 or 9 heads if Monte-Carlo
methods?
one draws a coin ten times? General concepts
Applications
Simple examples
I Binomial probability:
Generation of
P = B(3; 10, 0.5)+B(6; 10, 0.5)+B(9; 10, 0.5) ' 0.33 random variables
Markov chains
I Monte-Carlo simulation: Monte-Carlo
1. Given a random variable y ∼ U(0, 1), define “head” if Error estimation

y < 0.5, “tail” otherwise Numerical
integration
2. Draw 10 random variables xi ∼ U(0, 1), i = 1, . . . , 10
Optimization
3. Count the number of heads H, and increment T if
H = 3, 6, or 9
4. Repeat 2.–3. N times, with N reasonably large
5. The probability is approximately T /N
I Note that this is an integration on a probability
distribution, even if it is discrete!
Monte Carlo
Error estimation Methods
What is the uncertainty on the mean? Stéphane Paltani
What are
Monte-Carlo
Assuming N random variables xi ∼ N (0, PNσ), i = 1, . . . , N, methods?
the estimator of the mean is: x̄ = N −1

i=1 xi and its
General concepts
Applications
uncertainty is: √
Simple examples
Generation of
σx̄ = σ/ N random variables
Markov chains
The Monte-Carlo way: Monte-Carlo
Error estimation
1. Draw a set of N random variables
Numerical
yi ∼ N (0, σ), i = 1, . . . , N integration
−1
PN
2. Calculate the sample mean ȳ = N i=1 yi
Optimization
3. Redo 1.–2. M times

4. The uncertainty on the mean σx̄ is the root mean
square of ȳj , j = 1, . . . , M, i.e.
2
σx̄2 = (M − 1)−1 M
P −1
PM
j=1 ȳj − ŷ , with ŷ = M j=1 ȳj
Monte Carlo
Numerical integration Methods
How to calculate π? Stéphane Paltani
What are
Monte-Carlo
methods?
General concepts
Applications
Simple examples
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Optimization
1. Draw N point (x, y ) uniformly at random in a square

2. Count the C points for which x 2 + y 2 < 1
3. The ratio C/N converges towards π/4 as N 1/2
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of random variables Generation of

random variables
Random-number generators Random-number
generators
Transformation method Transformation method

Rejection method
Rejection method Quasi-random sequences
Markov chains
Quasi-random sequences Monte-Carlo
Error estimation

integration
Optimization
Error estimation
Optimization
Monte Carlo
Random number generators Methods
Basic principles Stéphane Paltani
What are
Monte-Carlo
methods?
I We want to draw many random variables Generation of
random variables
Ni ∼ U(0, 1), i = 1, . . . which satisfy (or approximate Random-number
generators
sufficiently well) all randomness properties Transformation method
Rejection method
I Ni ∼ U(0, 1), ∀i is not sufficient. We also want that Quasi-random sequences
Markov chains
f (Ni , Nj , . . .) ∀i, j, . . . has also the right properties Monte-Carlo
I Correlations in k -space are often found with a bad Error estimation
random-number generators Numerical

integration
I Another issue is the period of the generator Optimization
I The ran() function in libc has been (very) bad.

Do not use this function in applications when good
randomness is needed says man 3 rand
Monte Carlo
Basic algorithm Stéphane Paltani
What are
Monte-Carlo
I Many random number generators are based on the methods?
Generation of
recurrence relation: random variables
Random-number
generators
Nj+1 = a · Nj + c (mod m) Transformation method

Rejection method
Quasi-random sequences
These are called linear congruential generators. c is Markov chains

Monte-Carlo
actually useless. Error estimation
I “Divide” by m + 1 to get a number in the range [0; 1[ Numerical
integration
I Choices of a, m in standard libraries are found to Optimization
range from very bad to relatively good
I A “minimal standard” set is a = 75 = 16807, c = 0,
m = 231 − 1 = 2147483647. This is RAN0
I Note that the period is at most m
Monte Carlo
Improvements on RAN0 Stéphane Paltani
What are
Monte-Carlo
1. Multiplication by a doesn’t span the whole range of methods?
values, i.e. if Ni = 10−6 , Ni+1 ≤ 0.016, failing a Generation of
simple statistical test random variables
Random-number
generators
I Swap consecutive output values: Generate a few Transformation method
values (∼ 32), and at each new call pick one at Rejection method
random. This is RAN1 Markov chains
2. The period m = 231 − 1 might be too short Monte-Carlo
Error estimation
I Add the outcome of two RAN1 generators with
Numerical
(slightly) different m’s (and a’s). The period is the integration
least common multiple of m1 and m2 ∼ 2 · 1018 . This Optimization
is RAN2
3. The generator is too slow
I Use in C inline Ni+1 = 1664525 · Ni + 1013904223
using unsigned long. Patch the bits into a real
number (machine dependent). This is RANQD2
Monte Carlo
Implementations and recommendations Stéphane Paltani
What are
NR: Numerical Recipes Monte-Carlo
methods?
GSL: GNU Scientific Library Generation of
random variables
Random-number
Library Generator Relative speed Period generators
Transformation method
231
Rejection method
NR RAN0 1.0 ∼ Quasi-random sequences
NR RAN1 1.3 ∼ 236 Markov chains

Monte-Carlo
NR RAN2 2.0 ∼ 262 Error estimation
NR RANQD2 0.25 ∼ 230 Numerical
integration
GSL MT19937 0.8 ∼ 219937 Optimization
GSL TAUS 0.6 ∼ 288
GSL RANLXD2 8.0 ∼ 2400
Always use GSL! See the GSL doc for the many more
algorithms available
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?

random variables
generators

Rejection method
Markov chains
Error estimation

integration
Optimization
Error estimation
Optimization
Monte Carlo
Transformation method Methods
The method Stéphane Paltani
The transformation method allows in principle to draw What are

Monte-Carlo
values at random from any distribution methods?
Generation of
random variables
Random-number
generators
Rejection method
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
1. Given a distribution p(y ), the cumulative
Ry distribution Optimization
function (CDF) of p(y ) is F (y ) = 0 p(w) dw
2. We want to draw y uniformly in the shaded area, i.e.
uniformly over F (y ); by construction 0 ≤ F (y ) ≤ 1,
3. We draw x ∼ U(0, 1) and find y so that x = F (y )
4. Therefore y (x) = F −1 (x), x ∼ U(0, 1)
Monte Carlo
Example Stéphane Paltani
Exponential deviates: p(y ) = λe−λy What are

Monte-Carlo
methods?
F (y ) = 1 − e−λy = x Generation of
random variables
Random-number
generators
1 Rejection method
y (x) = − ln(1 − x) Quasi-random sequences
λ Markov chains
Monte-Carlo
Note: this is equivalent to Error estimation
Numerical
1 integration
y (x) = − ln(x),
λ Optimization
since, if x ∼ U(0, 1), then 1 − x ∼ U(0, 1) as well
Note also that it is rather uncommon to be able to

calculate F −1 (x) analytically. Depending on accuracy, it is
possible to calculate an numerical approximation
Monte Carlo
A point in space Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Random-number
generators
Rejection method
Markov chains
Monte-Carlo
To draw a point in a homogeneous sphere of radius R:
Error estimation
1. φ can be drawn uniformly from U(0, 2π) Numerical
integration
2. θ has a sine distribution p(θ) = sin(θ)/2, θ ∈ [0; π[ Optimization
Transformation: θ = 2 arccos(x)
radius shell has a volume f (R) ∼ R 2 dR, so
3. Each √
R∝ 3 x
4. Alternatively, draw a point
p at random on the surface
of a sphere (x, y , z)/ x 2 + y 2 + z 2 with
x, y , z ∼ N (0, 1)
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?

random variables
generators

Rejection method
Markov chains
Error estimation

integration
Optimization
Error estimation
Optimization
Monte Carlo
Rejection method Methods
The method Stéphane Paltani
If the CDF of p(x) is difficult to estimate (and you can What are
forget about inversion), the rejection method can be used Monte-Carlo
methods?
Generation of
random variables
Random-number
generators
Rejection method
Markov chains
Monte-Carlo
Error estimation
1. Find a comparison function f (x) that can be Numerical
integration
sampled, so that f (x) ≥ p(x), ∀x
Optimization
2. Draw a random deviate x0 from f (x)
3. Draw a uniform random deviate y0 from U(0, f (x0 ))
4. If y0 < p(x0 ), accept x0 , otherwise discard it
5. Repeat 2.–4. until you have enough values
The rejection method can be very inefficient if f (x) is very
different from p(x)
Monte Carlo
What are
Monte-Carlo
methods?
Generation of
random variables
Random-number
generators
Rejection method
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
αn e−α
The Poisson distribution is discrete: P(n; α) = n! Optimization
Make it continuous:
α[x] e−α
P(x; α) =
[x]!
1
A Lorentzian f (x) ∝ (x−α)2 +c 2
is a good comparison
function
Monte Carlo
A point in space Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Random-number
generators
Rejection method
Markov chains
Monte-Carlo
Error estimation
Numerical
A simpler way to draw a point in a homogeneous sphere integration
of radius R based on rejection: Optimization
1. Draw three random variables x, y , z from U(−R, R)

2. Keep if x 2 + y 2 + z 2 < R 2 , reject otherwise
3. Repeat 1.–2. until you have enough values
4π 3
Efficiency is 3 /2 ' 0.52
Monte Carlo
Distributions Methods
Stéphane Paltani
What are
Monte-Carlo
methods?
GNU Scientific Library implements (not exhaustive!):
Generation of
random variables
Gaussian Binomial Random-number
generators
Correlated bivariate Gaussian Poisson Transformation method
Rejection method
Exponential Quasi-random sequences
Laplace Markov chains

Monte-Carlo
Cauchy Spherical 2D, 3D Error estimation
Rayleigh Numerical
integration
Landau
Optimization
Log-normal
Gamma, beta
χ2 , F, t
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?

random variables
generators

Rejection method
Markov chains
Error estimation

integration
Optimization
Error estimation
Optimization
Monte Carlo
Quasi-random sequences Methods
What is random? Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Random-number
generators
Rejection method
Markov chains
Monte-Carlo
Error estimation
All sets of points fill “randomly” the area [[0; 1]; [0; 1]]
Numerical
integration
The left and center images are “sub-random” and fill more
Optimization
uniformly the area
These sequences are also called low-discrepancy
sequences
These sequences can be used to replace the RNG when
x ∼ U(a, b) is needed
Monte Carlo
Filling of the plane Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Random-number
generators
Rejection method
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Optimization
The sequence fills more or less uniformly the plane ∀N

Monte Carlo
Examples of algorithms Stéphane Paltani
What are
Monte-Carlo
methods?
I Sobol’s sequence: Count in binary, but using Gray
Generation of
code and put a radix in front: 0.1, 0.11, 0.01, 0.011, random variables
0.001, 0.101, 0.111, . . . Random-number
generators
This can be generalized to N dimensions Rejection method
This is the red set of points
Markov chains
Monte-Carlo
I Halton’s sequence: H(i) is constructed the following
Error estimation
way: take i expressed in a (small) prime-number
Numerical
base b (say b = 3), e.g. i = 17 ≡ 122 (base 3). integration
Reverse the digits and put a radix in front, i.e. Optimization
H(17) = 0.221 (base 3) ' 0.92593

This is generalized to N dimensions by choosing
different b’s in each dimension
This is the blue set of points
Monte Carlo
Accuracy Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Random-number
generators
Rejection method
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Optimization
Convergence in some cases of numerical integration can

reach ∼ 1/N
Monte Carlo
Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Random-number
generators
GNU Scientific Library implements: Transformation method

Rejection method
I Sobol’s sequence
Markov chains
I Halton’s sequence Monte-Carlo
Error estimation
I Niederreiter’s sequence Numerical
integration
Optimization
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of
Generation of random variables random variables
Markov chains
Monte-Carlo
Markov chains Monte-Carlo Markov chains
Markov chains Monte-Carlo
Markov chains Metropolis-Hastings MCMC
Error estimation
Numerical
Metropolis-Hastings MCMC integration
Optimization
Error estimation
Optimization
Monte Carlo
Markov chains Methods
Definition Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
A set of random variables xi , i = 1, . . . is a Markov chain if: random variables
Markov chains
Monte-Carlo
P(xi+1 = x|x1 , . . . , xi ) = P(xi+1 = x|xi ) Markov chains
Metropolis-Hastings MCMC
Error estimation
Numerical
integration
Optimization
Monte Carlo
Examples Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
I State machine
Markov chains
Monte-Carlo
Markov chains
I White noise: xi+1 = εi , εi ∼ N (µ, σ) Markov chains Monte-Carlo
I Random walk: xi+1 = xi + εi , εi ∼ N (µ, σ) Error estimation
Numerical
integration
I AR[1] process: xi+1 = ϕ · xi + εi , εi ∼ N (µ, σ),
Optimization
|ϕ| < 1
I Google’s PageRank
Monte Carlo
Properties Stéphane Paltani
What are
Monte-Carlo
I Homogeneity: A Markov chain is homogeneous if methods?
Generation of
P(xi+1 = x|xi ) = P(xj+1 = x|xj ), ∀i, j random variables
Markov chains
I Ergodicity: A Markov chain is ergodic if Monte-Carlo
Markov chains
E(n|xn = xi , n > i) < ∞, ∀i Markov chains Monte-Carlo

(Probably only valid when the number of states is Error estimation
finite) Numerical
integration
Ergodicity means that all possible states will be Optimization
reached at some point
I Reversibility: A Markov chain is reversible if
there exists a distribution Π(x) such that:
Π(α)P(xi+1 = α|xi = β) = Π(β)P(xi+1 = β|xi = α),
∀i, α, β
Monte Carlo
More on reversibility Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
If a Markov chain is reversible: Markov chains
Z Z Monte-Carlo
Markov chains
Π(α)P(xi+1 = α|xi = β) = Π(β)P(xi+1 = β|xi = α) = Markov chains Monte-Carlo

α α
Error estimation
Z
Numerical
= Π(β) P(xi+1 = β|xi = α) = Π(β) integration
α Optimization
This property is also called detailed balance. Π(x) is then

the equilibrium distribution of the Markov chain.
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of
Markov chains
Monte-Carlo
Error estimation
Numerical
Optimization
Error estimation
Optimization
Monte Carlo
Markov chains Monte-Carlo Methods
Definition Stéphane Paltani
What are
Monte-Carlo
Can we build a Markov chain that has pretty much any methods?
Generation of
requested equilibrium distribution? YES!! The answer is random variables
Markov chain Monte-Carlo Markov chains
Monte-Carlo
I MCMC is one of the ten best algorithms ever! Markov chains
(along with FFT, QR decomposition, Quicksort, . . . ) Metropolis-Hastings MCMC
Error estimation
I MCMC uses a homogeneous, ergodic and reversible
Numerical
Markov chain to generate consistent samples drawn integration
from any given distribution Optimization
I No specific knowledge of the distribution, no specific

support function is required
I Construction of the Markov chain Monte-Carlo is
even straightforward
Monte Carlo
The Metropolis algorithm Stéphane Paltani
What are
Monte-Carlo
methods?
Assuming a distribution f (x) that we want to sample: Generation of
random variables
1. Choose a proposal distribution p(x) and an initial
Markov chains
value x1 Monte-Carlo
Markov chains
2. Select a candidate step using p(x), so that: Markov chains Monte-Carlo

x̂ = xi + ε, ε ∼ p(x) Error estimation
3. If f (x̂) > f (xi ) accept xi+1 = x̂, otherwise accept Numerical

integration
xi+1 = x̂ with a probability f (x̂)/f (xi ), else reject and
Optimization
start again at 2.
4. Continue at 2. until you have enough values
5. Discard the early values (burning phase) which are
influenced by the choice of x1
Monte Carlo
Random walk MCMC Stéphane Paltani
What are
Monte-Carlo
Random-walk updates, i.e. proposal distribution is methods?
constant, i.e. x̂ = xi + εi , εi ∼ p(x): Generation of
random variables
I Gaussian update: p(x) = N (0, σ) Markov chains
Monte-Carlo
I Uniform update: p(x) = U(−υ, υ) Markov chains
I Student’s t update Metropolis-Hastings MCMC
Error estimation
I Lévy-flight update: p(x) is heavy-tailed (power law)
Numerical
integration
Optimization
Monte Carlo
Non random walk MCMC Stéphane Paltani
What are
Monte-Carlo
methods?
I Independence sampler: x̂ ∼ Y , i.e. do not use xi ! Generation of
random variables
This is equivalent to the rejection method
Markov chains
I Langevin update: x̂ = xi + εi + σ2 ∇ log f (xi ). Uses Monte-Carlo
Markov chains
some information about f (x) to propose a better Markov chains Monte-Carlo

move Error estimation
I Gareth’s diffusion: Gaussian update, but Numerical

integration
σ(xi ) = (maxx f (x))/f (xi ). Makes bigger steps if we Optimization
are in an area with small probability
I Gaussian AR[1] update:
x̂ = a + b(xi − a) + εi , εi ∼ N (0, σ), |b| ≤ 1. Not sure
what good this does
Monte Carlo
Further notes on implementations Stéphane Paltani
What are
I Check the rejection ratio. Values between 30 and Monte-Carlo
methods?
70% are conventionally accepted Generation of
random variables
I Discard the burning phase. the autocorrelation
Markov chains
function is a standard way to check if the initial value Monte-Carlo
Markov chains
has become irrelevant or not Markov chains Monte-Carlo
I The width of the proposal distribution (e.g. σ for a Error estimation
Gaussian update or υ for a uniform update) should Numerical
integration
be tuned during the burning phase to set the
Optimization
rejection fraction in the right bracket
I Reflection can be used when an edge of f (x) is
reached, e.g. set x̂ = |xi + εi | if xi must remain
positive
I Be careful with multimodal distributions. Not all
modes may be sampled
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of
Markov chains
Monte-Carlo
Error estimation
Numerical
Optimization
Error estimation
Optimization
Monte Carlo
Metropolis-Hastings MCMC Methods
Limitations of the Metropolis algorithm Stéphane Paltani
What are
I A symmetric proposal distribution might not be Monte-Carlo
methods?
optimal
Generation of
I Boundary effects: less time is spent close to random variables
Markov chains
boundaries, which might not be well sampled Monte-Carlo
Markov chains
Error estimation
Numerical
integration
Optimization
I A correction factor, the Hastings ratio, is applied to

correct for the bias
I The Hastings ratio usually speeds up convergence
I The choice of the proposal distribution becomes
however more important
Monte Carlo
Metropolis-Hastings MCMC Methods
The Hastings ratio Stéphane Paltani
What are
Monte-Carlo
methods?
I The proposed update is x̂ ∼ Q(x; xi )
Generation of
I The probability to accept the next point, A is modified random variables
Markov chains
so that instead of: Monte-Carlo
Markov chains

f (x̂) Markov chains Monte-Carlo
A = min 1, Metropolis-Hastings MCMC
f (xi ) Error estimation
Numerical
the probability is corrected by the Hastings ratio: integration
Optimization

f (x̂) Q(x̂; xi )
A = min 1,
f (xi ) Q(xi ; x̂)
I If Q(α; β) = Q(β; α), this is the Metropolis algorithm

Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of
Markov chains
Monte-Carlo
Markov chains Monte-Carlo Error estimation
Error distribution
Error propagation
Resampling methods:
Error estimation bootstrap
Error distribution Numerical

integration
Error propagation Optimization
Resampling methods: bootstrap
Optimization
Monte Carlo
Error distribution Methods
When hypotheses are not satisfied Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
Optimization
Are these points correlated: N = 45 points, r = 0.42 ?
The null-hypothesis probability that there is no correlation

is 0.005
Monte Carlo
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
Optimization
However, some parts of the plane (y < x − 0.5) are not

accessible
The correct probability can be estimated using a

Monte-Carlo simulation
Monte Carlo
Using Monte-Carlo simulations Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
Optimization
1. Draw N couples (xi , yi ) ∼ (U(0, 1), U(0, 1)), rejecting
those for which yi < xi − 0.5
2. Calculate the correlation coefficient r
3. Repeat 1.–2. many times
4. Study the distribution. In this case the null hypothesis
has a ∼ 10% probability
Monte Carlo
Statistical significance Methods
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
Optimization
Is the distribution of these N values Gaussian?
Use a Kolmogorov-Smirnov test QKS , and then use the

null-hypothesis probabilities for this test
OK, but I do not know σ

Monte Carlo
Statistical significance Methods
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
1. Find the parameters σobserved that minimizes QKS,obs ,
Optimization
and the corresponding QKS,obs,min
2. Draw N points from a Gaussian with rms σobserved
3. Find the minimum of QKS,sim as a function of trial σ
4. Repeat 2.–3. many times, and check the distribution
of QKS,sim,min against QKS,obs,min . In this case, 20% of
the QKS,sim,min exceed QKS,obs,min
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of
Markov chains
Monte-Carlo
Error distribution
Error propagation
Resampling methods:

integration
Optimization
Monte Carlo
Error propagation Methods
The case of the parallax Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
I One measures the parallax π of a given objects Markov chains
Monte-Carlo
I Assume that the known uncertainty σ on π is Error estimation

Error distribution
Gaussian, i.e. the true parallax Π and π are related Error propagation
Resampling methods:
by π = Π + ε, ε ∼ N (0, σ) bootstrap
Numerical
integration
I In the limit σ π, we have the error propagation on
Optimization
the distance
D = 1/π
∆D = ∂D 1 σ

∂π ∆π = π 2 ∆π = π 2

I But higher-order terms in the serial expansion make

the error distribution of D very asymmetrical
I A better solution is to perform the error propagation
with a Monte-Carlo simulation
Monte Carlo
The case of the parallax illustrated Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
Optimization
Monte-Carlo simulations allow to simulate the distribution

of the distance D of a source in case of a parallax of
15 ± 1" (Left) and 3 ± 1" (Right)
Any inference on confidence intervals (for instance) is

bound to be erroneous when σ π is not satisfied
Monte Carlo
Real life example: Black-hole mass I Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
Optimization
I MBH = c · τ < v >2

is a non-linearly derived
parameter from two measured parameters with
non-Gaussian uncertainty distributions
I Pick many values τ and < v > from their
distributions and build the distribution of MBH
Monte Carlo
Real life example: Black-hole mass II Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
Optimization
The resulting distribution can be explored to determine its

moment and confidence intervals
Two independent estimates can be combined using a

maximum-likelihood estimation
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of
Markov chains
Monte-Carlo
Error distribution
Error propagation
Resampling methods:

integration
Optimization
Monte Carlo
Bootstrap Methods
A simple error estimation problem Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Assume if have two sets of random variables Numerical

integration
xi , i = 1, . . . , N and yj , i = 1, . . . , N, with N = 20 and a
Optimization
correlation coefficient r = −0.63. Are the two variables
significantly correlated? Alternatively, what is the
uncertainty on r ?
In this case we can simulate new sets using Monte-Carlo

under the null hypothesis, and estimate significance and
uncertainty
Monte Carlo
Bootstrap Methods
Getting something from nothing Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
What if we have no idea about the underlying distribution?
Optimization
Intuition says that would be akin to pulling one’s

bootstraps to lift oneself
But the data contain hidden information about their

distribution!
Monte Carlo
Bootstrap Methods
General principle Stéphane Paltani
What are
Monte-Carlo
methods?
I Generate many pseudo-samples by random,
Generation of
Monte-carlo, direct extraction of data points from the random variables
original sample Markov chains

Monte-Carlo
I Each pseudo-sample has the same size as the Error estimation
Error distribution
original sample Error propagation
Resampling methods:
I As a consequence most pseudo-sample contain bootstrap
Numerical
some repeated data points and some missing data integration
points Optimization
I The statistics of interest is computed for all

pseudo-samples, and its distribution is sampled,
allowing to infer its statistical properties (uncertainty,
mean, confidence intervals, . . . )
Monte Carlo
Bootstrap Methods
A practical example Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
We generate a similar histogram with the data only: integration
Optimization
1. Draw N indices (integers) αi from [1; N]
2. Calculate the correlation coefficient r from the new
sets xαi and yαi , i = 1, . . . , N
3. Build and study the distribution of r by repeating
1.–2. many times
Monte Carlo
Bootstrap Methods
Smoothed bootstrap Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Error distribution
Error propagation
Resampling methods:
bootstrap
Numerical
integration
Optimization
If the statistics of interest is discrete (i.e., can have only
few values), the bootstrap distribution will be quite bad
2
√ add a smoothing random variable ∼ N (0, σ ),
One can
σ = 1/ N, to all the picked values of a bootstrap test
Even in the non-smoothed case, the confidence intervals

can be pretty good
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of
Markov chains
Monte-Carlo
Numerical
integration
Error estimation Monte-Carlo algorithm
Stratified sampling
Importance sampling
Optimization
Monte-Carlo algorithm
Stratified sampling
Importance sampling
Optimization
Monte Carlo
Monte-Carlo algorithm Methods
Basic principle Stéphane Paltani
What are
Monte-Carlo
(1/h)M
R
V f dV in M dimensions requires ∼ steps methods?
Generation of
random variables
Markov chains
Given a volume V and a function f (with <w> being the Monte-Carlo
average of w over V ): Error estimation
r Numerical
integration
<f 2> − <f>2
Z
f dV ' V <f> ±V Stratified sampling
V N Importance sampling
Optimization
This is the basic theorem of Monte-Carlo integration
1. Draw N points at random within V
2. Calculate <f>= N1 N 2
P
i=1 fi (and <f >)
3. Multiply <f> by V to obtain the integral
Monte Carlo
Volume determination Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
R Monte-Carlo algorithm
The volume of V can be determined by V f dV , with f ≡ 1 Stratified sampling

Importance sampling
Optimization
If it is not possible or not easy to sample uniformly the
volume, one has to find a volume W containing V , which
can be sampled and whose volume is known
q
2 2
The error is then W <f >−<f> N , but

1, if w ∈ V
f (w) =
0, if not
Monte Carlo
How to minimize the error Stéphane Paltani
What are
The error term depend on the variance of f within V : Monte-Carlo
methods?
r
< f 2 > − < f >2 Generation of
random variables
V
N Markov chains
Monte-Carlo
Can we reduce < f 2 > − < f >2 ? Error estimation
Numerical
If f varies strongly over V (e.g., f (x, y , z) = e5z ), one can integration

perform a change of variable: Stratified sampling

Importance sampling
Optimization
1 5z
s= e → ds = e5z dz
5
Z Z Z 1 Z Z Z e5 /5
=⇒ e5z dz = ds
x y z=−1 x y s=e−5 /5
Equivalent to a transformation method, but useless

Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of
Markov chains
Monte-Carlo
Numerical
integration
Stratified sampling
Importance sampling
Optimization
Stratified sampling
Importance sampling
Optimization
Monte Carlo
Stratified sampling Methods
Divide and conquer... Stéphane Paltani
1
R
If F̂ is the estimator of F = V V f dV , What are
Monte-Carlo
methods?
Var(f ) σ2
Var(F̂ ) = ≡ Generation of
N N random variables
Markov chains
If one cut V in two equal volumes V1 and V2 , the new Monte-Carlo
estimator of F is: Error estimation

! Numerical
σ 2 σ 2
1 1 integration
Fˆ0 = Fˆ1 + Fˆ2 =⇒ Var(Fˆ0 ) = 1
+ 2 Monte-Carlo algorithm
2 4 N1 N2 Stratified sampling
Importance sampling
Optimization
The minimum is reached for: Ni /N = σi /(σ1 + σ2 )
(σ1 + σ2 )2
=⇒ Var(Fˆ0 ) =
4N
One can therefore cut V into many separate pieces,
estimate the rms in each of them, and draw the points in
each subvolume proportionally to the rms of f
Monte Carlo
at work. . . Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Stratified sampling
Importance sampling
Optimization
Sampling is performed in the subvolumes where σ is

large
Monte Carlo
The MISER algorithm Stéphane Paltani
What are
When V has many dimensions d, stratified sampling Monte-Carlo
methods?
needs to cut the volume in K d subvolumes Generation of
random variables
The MISER algorithm uses a recursive stratified Markov chains
Monte-Carlo
sampling. It cuts the volume in two parts one dimension
Error estimation
at a time:
Numerical
1. For each dimension i, cut the current volume in two, integration
V1 and V2 , and determine σ1,2 Stratified sampling

Importance sampling
2. Find the most favorable dimension, e.g., by Optimization
minimizing σ12 + σ22

3. Perform additional MC evaluation in V1 and V2
minimizing the error
4. Iterate 1.–3. as long as the number of evaluations
remains not too prohibitive
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?
Generation of
Markov chains
Monte-Carlo
Numerical
integration
Stratified sampling
Importance sampling
Optimization
Stratified sampling
Importance sampling
Optimization
Monte Carlo
Importance sampling Methods
Using a sampling distribution Stéphane Paltani
What are
Instead of sampling uniformly, we use a distribution p: Monte-Carlo
methods?
Z Generation of
random variables
pdV = 1
V Markov chains
Monte-Carlo
r 2 2 Error estimation
< f /p > − < f /p >2
Z Z
f f
=⇒ f dV = pdV = ± Numerical
integration
V V p p N Monte-Carlo algorithm
Stratified sampling
Given N, the square root is minimized if: Importance sampling
Optimization
|f |
p=R
V |f |dV
The idea of importance sampling is to find a distribution

p as close as possible to f . Importance sampling requires
some prior knowledge of f
Monte Carlo
Importance sampling Methods
The VEGAS algorithm Stéphane Paltani
What are
The VEGAS algorithm implements importance sampling Monte-Carlo
methods?
with a separable distribution in d dimensions:
Generation of
random variables
p ∝ g1 (x1 ) · g2 (x2 ) · g3 (x3 ) . . . · gd (xd ) Markov chains
Monte-Carlo
VEGAS uses an adaptive strategy to determine gi (xi ) Error estimation
Numerical
1. Choose arbitrary gi (xi ) (e.g., constant) integration
2. Cut each axes in K pieces, and determine the Stratified sampling

Importance sampling
integral and the Kd importance sampling weights Optimization

gi (k ), k = 1, . . . , N
3. Iterate 2. a (small) number of times to improve the
weights gi (k ) and the integral
VEGAS efficiency depends strongly on the validity of the
separability of f , and will be small if the integrand is
dominated by a subspace of dimension d1 < d
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?

random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Error estimation
Optimization
Stochastic optimization
Swarm intelligence
Numerical integration Genetic algorithms
Simulated annealing
Optimization
Swarm intelligence
Genetic algorithms
Simulated annealing
Monte Carlo
Stochastic optimization Methods
The problem of local minima Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Minimization of complex functions in many dimensions
Optimization
often shows multiple minima Stochastic optimization
Swarm intelligence
Genetic algorithms
Random (i.e., Monte-Carlo) approaches can help Simulated annealing
In Nature, the problem is often encountered. . . and

solved (or approximated)
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?

random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Error estimation
Optimization
Swarm intelligence
Simulated annealing
Optimization
Swarm intelligence
Genetic algorithms
Simulated annealing
Monte Carlo
Swarm intelligence Methods
The ant colony optimization Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Optimization
Numerous agents explore the landscape with simple Stochastic optimization
interactions between them Swarm intelligence

Genetic algorithms
Simulated annealing
Ants move at random in the solution space and deposit

pheromones behind them, which attract other ants
Shorter paths are crossed more rapidly by ants, so more

pheromone is deposited, attracting more ants
Try also bees!

Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?

random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Error estimation
Optimization
Swarm intelligence
Simulated annealing
Optimization
Swarm intelligence
Genetic algorithms
Simulated annealing
Monte Carlo
Genetic algorithms Methods
Principle Stéphane Paltani
What are
Use Darwinian evoution of a gene pool to find the fittest Monte-Carlo
methods?
genes
Generation of
random variables
I Each chromosome represents a candidate solution
Markov chains
to the problem at hand, represented as a series of Monte-Carlo
genes Error estimation
Numerical
I A fitness function can be calculated for each integration
chromosome Optimization
I At each generation Swarm intelligence
Genetic algorithms
1. Genes mutate, Simulated annealing
2. Chromosomes reproduce sexually

3. Non-biological mechanisms are also possible
4. Chromosomes are selected according to their fitness
I After the stopping criterion is used, the best
chromosome provides the approximate solution
Monte Carlo
Genetic algorithms Methods
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
You want to build the best possible average spectrum with integration
a sample of N low-S/N high-redshift galaxies, but you Optimization

know the sample contain 50% interlopers (galaxies with Swarm intelligence
Genetic algorithms
wrongly identified redshifts) Simulated annealing
I The chromosomes are a series of N bits, half of

them set to 1, the rest to 0
I The fitness function is the summed equivalent width
of the expected line features
I Mutation are random inclusion or exclusion of
galaxies
Monte Carlo
Outline Methods
Stéphane Paltani

Monte-Carlo
methods?

random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Error estimation
Optimization
Swarm intelligence
Simulated annealing
Optimization
Swarm intelligence
Genetic algorithms
Simulated annealing
Monte Carlo
Simulated annealing Methods
Principle Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Optimization
In nature, crystal (e.g., ice) can form over large areas, Stochastic optimization
Swarm intelligence
thus minimizing internal energy Genetic algorithms
Simulated annealing
Annealing is the process of slowly cooling a material to

relieve internal stress
Nature performs an annealing by slowly decreasing

temperature, so that misaligned ice crystals can melt and
freeze in a more favorable direction
Monte Carlo
Implementation Stéphane Paltani
What are
Simulated annealing requires: Monte-Carlo
methods?
Generation of
1. A configuration of all possible states S, i.e. the space random variables
of the problem Markov chains

Monte-Carlo
2. An internal energy E, which we want to minimize Error estimation
3. “Options” for the next state after the current state, Numerical
integration
similar to updates in Metropolis algorithms Optimization
4. A temperature T which is related to the probability to Swarm intelligence
Genetic algorithms
accept an increase in energy: Simulated annealing

−∆E
S0 is accepted if ς ∼ U(0, 1) < exp
kT
5. A cooling schedule, which determines how T evolve

with the number of iterations
Monte Carlo
Implementation II Stéphane Paltani
What are
Monte-Carlo
methods?
Generation of
I {S} and E are the problem to solve, i.e. we want random variables
Smin | E(Smin ) < E(S), ∀S 6= Smin Markov chains
Monte-Carlo
I The options are a tricky point, as a completely Error estimation
random move in many dimensions might be very Numerical
integration
inefficient in case of narrow valleys. The downhill
Optimization
simplex (amoeba) algorithm can be tried Stochastic optimization
Swarm intelligence
I The acceptance condition makes it similar to the Genetic algorithms
Simulated annealing
Metropolis algorithm
I There are also several possibilities for the cooling
schedule, for instance T → (1 − ε)T at each step
Monte Carlo
What are
Monte-Carlo
methods?
Generation of
random variables
Markov chains
Monte-Carlo
Error estimation
Numerical
integration
Optimization
Swarm intelligence
Genetic algorithms
Simulated annealing

Monte Carlo Methods: Stéphane Paltani

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Monte Carlo

ISDC Data Center for Astrophysics Optimization

Statistics Course for Astrophysicists, 2010–2011

This has been prepared in the hope to be useful even in Optimization

the stand-alone version

What are Monte-Carlo methods? What are

Simple examples Generation of

Monte-Carlo methods: What are

I are a class of computational algorithms Generation of

I rely on repeated random sampling Numerical

I are used in cases where analytical or numerical

Monte-Carlo methods generally follow the following steps: General concepts

the above properties Error estimation

4. Analyze statistically the results Optimization

What are Monte-Carlo methods? What are

Simple examples Generation of

Monte-Carlo integration is the most common application Numerical

Basic idea: Do not use a fixed grid, but random points,

random variable (i.e., x ∼ f (x)), Monte-Carlo simulations Error estimation

can be used to: Numerical

Monte-Carlo approach can alleviate the problem by

astrophysical application of Monte-Carlo simulations

GEANT4 Stéphane Paltani

GEANT4 is also used to determine the performance of

What are Monte-Carlo methods? What are

Simple examples Generation of

Head vs tail probability Stéphane Paltani

1. Given a random variable y ∼ U(0, 1), define “head” if Error estimation

What is the uncertainty on the mean? Stéphane Paltani

the estimator of the mean is: x̄ = N −1

3. Redo 1.–2. M times

How to calculate π? Stéphane Paltani

1. Draw N point (x, y ) uniformly at random in a square

What are Monte-Carlo methods? What are

Generation of random variables Generation of

Transformation method Transformation method

Rejection method Quasi-random sequences

Markov chains Monte-Carlo Numerical

Basic principles Stéphane Paltani

I Ni ∼ U(0, 1), ∀i is not sufficient. We also want that Quasi-random sequences

I Correlations in k -space are often found with a bad Error estimation

random-number generators Numerical

I The ran() function in libc has been (very) bad.

Basic algorithm Stéphane Paltani

Nj+1 = a · Nj + c (mod m) Transformation method

These are called linear congruential generators. c is Markov chains

Improvements on RAN0 Stéphane Paltani

Implementations and recommendations Stéphane Paltani

NR RAN1 1.3 ∼ 236 Markov chains

What are Monte-Carlo methods? What are

Generation of random variables Generation of

Transformation method Transformation method

Rejection method Quasi-random sequences

Markov chains Monte-Carlo Numerical

The method Stéphane Paltani

The transformation method allows in principle to draw What are

Example Stéphane Paltani

Exponential deviates: p(y ) = λe−λy What are

y (x) = − ln(1 − x) Quasi-random sequences

since, if x ∼ U(0, 1), then 1 − x ∼ U(0, 1) as well

Note also that it is rather uncommon to be able to

A point in space Stéphane Paltani

What are Monte-Carlo methods? What are