A Guide to Monte Carlo Simulations in Statistical Physics


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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. Each simulation can generate as many as ten thousand data points that are randomly distributed based upon provided variables. 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.

Monte Carlo simulation is commonly used to evaluate the risk and uncertainty that would affect the outcome of different decision options. Monte Carlo simulation allows the business risk analyst to incorporate the total effects of uncertainty in variables like sales volume, commodity and labour prices, interest and exchange rates, as well as the effect of distinct risk events like the cancellation of a contract or the change of a tax law. 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. A Monte Carlo approach was used for evaluating the potential value of a proposed program to help female petitioners in Wisconsin be successful in their applications for harassment and domestic abuse restraining orders.

A Guide to Monte Carlo Simulations in Statistical Physics by David P. Landau

It was proposed to help women succeed in their petitions by providing them with greater advocacy thereby potentially reducing the risk of rape and physical assault. However, there were many variables in play that could not be estimated perfectly, including the effectiveness of restraining orders, the success rate of petitioners both with and without advocacy, and many others.

The study ran trials that varied these variables to come up with an overall estimate of the success level of the proposed program as a whole. In general, the Monte Carlo methods are used in mathematics to solve various problems by generating suitable random numbers see also Random number generation and observing that fraction of the numbers that obeys some property or properties.

The method is useful for obtaining numerical solutions to problems too complicated to solve analytically. The most common application of the Monte Carlo method is Monte Carlo integration.

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Deterministic numerical integration algorithms work well in a small number of dimensions, but encounter two problems when the functions have many variables. First, the number of function evaluations needed increases rapidly with the number of dimensions. For example, if 10 evaluations provide adequate accuracy in one dimension, then 10 points are needed for dimensions—far too many to be computed. This is called the curse of dimensionality.

Second, the boundary of a multidimensional region may be very complicated, so it may not be feasible to reduce the problem to an iterated integral.

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Monte Carlo methods provide a way out of this exponential increase in computation time. As long as the function in question is reasonably well-behaved , it can be estimated by randomly selecting points in dimensional space, and taking some kind of average of the function values at these points. A refinement of this method, known as importance sampling in statistics, involves sampling the points randomly, but more frequently where the integrand is large.

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To do this precisely one would have to already know the integral, but one can approximate the integral by an integral of a similar function or use adaptive routines such as stratified sampling , recursive stratified sampling , adaptive umbrella sampling [96] [97] or the VEGAS algorithm. A similar approach, the quasi-Monte Carlo method , uses low-discrepancy sequences. These sequences "fill" the area better and sample the most important points more frequently, so quasi-Monte Carlo methods can often converge on the integral more quickly.

Another class of methods for sampling points in a volume is to simulate random walks over it Markov chain Monte Carlo. Another powerful and very popular application for random numbers in numerical simulation is in numerical optimization. The problem is to minimize or maximize functions of some vector that often has many dimensions. Many problems can be phrased in this way: for example, a computer chess program could be seen as trying to find the set of, say, 10 moves that produces the best evaluation function at the end.

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In the traveling salesman problem the goal is to minimize distance traveled. There are also applications to engineering design, such as multidisciplinary design optimization. It has been applied with quasi-one-dimensional models to solve particle dynamics problems by efficiently exploring large configuration space. Reference [99] is a comprehensive review of many issues related to simulation and optimization. The traveling salesman problem is what is called a conventional optimization problem.

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That is, all the facts distances between each destination point needed to determine the optimal path to follow are known with certainty and the goal is to run through the possible travel choices to come up with the one with the lowest total distance. However, let's assume that instead of wanting to minimize the total distance traveled to visit each desired destination, we wanted to minimize the total time needed to reach each destination. This goes beyond conventional optimization since travel time is inherently uncertain traffic jams, time of day, etc. As a result, to determine our optimal path we would want to use simulation - optimization to first understand the range of potential times it could take to go from one point to another represented by a probability distribution in this case rather than a specific distance and then optimize our travel decisions to identify the best path to follow taking that uncertainty into account.

Probabilistic formulation of inverse problems leads to the definition of a probability distribution in the model space. This probability distribution combines prior information with new information obtained by measuring some observable parameters data. As, in the general case, the theory linking data with model parameters is nonlinear, the posterior probability in the model space may not be easy to describe it may be multimodal, some moments may not be defined, etc.

When analyzing an inverse problem, obtaining a maximum likelihood model is usually not sufficient, as we normally also wish to have information on the resolution power of the data. In the general case we may have many model parameters, and an inspection of the marginal probability densities of interest may be impractical, or even useless.

But it is possible to pseudorandomly generate a large collection of models according to the posterior probability distribution and to analyze and display the models in such a way that information on the relative likelihoods of model properties is conveyed to the spectator. This can be accomplished by means of an efficient Monte Carlo method, even in cases where no explicit formula for the a priori distribution is available.


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The best-known importance sampling method, the Metropolis algorithm, can be generalized, and this gives a method that allows analysis of possibly highly nonlinear inverse problems with complex a priori information and data with an arbitrary noise distribution. From Wikipedia, the free encyclopedia. Not to be confused with Monte Carlo algorithm.

Probabilistic problem-solving algorithm. Fluid dynamics. Monte Carlo methods.

A Guide to Monte Carlo Simulations in Statistical Physics

See also: Monte Carlo method in statistical physics. Main article: Monte Carlo tree search. See also: Computer Go. See also: Monte Carlo methods in finance , Quasi-Monte Carlo methods in finance , Monte Carlo methods for option pricing , Stochastic modelling insurance , and Stochastic asset model. Main article: Monte Carlo integration. Main article: Stochastic optimization.

Statistics portal. October The Journal of Chemical Physics. Bibcode : JChPh.. Bibcode : Bimka.. Journal of the American Statistical Association. Computational Statistics. Nonlinear Markov processes. Cambridge Univ. Mean field simulation for Monte Carlo integration. Xiphias Press. Retrieved Bibcode : PNAS LIX : — Methodos : 45— Methodos : — Feynman—Kac formulae.

Genealogical and interacting particle approximations. Probability and Its Applications. Lecture Notes in Mathematics. Berlin: Springer. Stochastic Processes and Their Applications. Bibcode : PhRvE.. Archived from the original PDF on Bibcode : PhRvL..

A Guide to Monte Carlo Simulations in Statistical Physics A Guide to Monte Carlo Simulations in Statistical Physics
A Guide to Monte Carlo Simulations in Statistical Physics A Guide to Monte Carlo Simulations in Statistical Physics
A Guide to Monte Carlo Simulations in Statistical Physics A Guide to Monte Carlo Simulations in Statistical Physics
A Guide to Monte Carlo Simulations in Statistical Physics A Guide to Monte Carlo Simulations in Statistical Physics
A Guide to Monte Carlo Simulations in Statistical Physics A Guide to Monte Carlo Simulations in Statistical Physics
A Guide to Monte Carlo Simulations in Statistical Physics A Guide to Monte Carlo Simulations in Statistical Physics

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