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Exercize 5

Numerically compute an integral value via Monte Carlo approaches

The integral to be evaluated is the following:


  I = \int\limits_0^1 dx \, e^x

\begin{figure} \hypertarget{fig:exp}{% \centering \begin{tikzpicture} \definecolor{cyclamen}{RGB}{146, 24, 43} % Integral \filldraw [cyclamen!15!white, domain=0:5, variable=\x] (0,0) -- plot({\x},{exp(\x/5)}) -- (5,0) -- cycle; \draw [cyclamen] (5,0) -- (5,2.7182818); \node [below] at (5,0) {1}; % Axis \draw [thick, <-] (0,4) -- (0,0); \draw [thick, ->] (-2,0) -- (7,0); \node [below right] at (7,0) {$x$}; \node [above left] at (0,4) {$e^{x}$}; % Plot \draw [domain=-2:7, smooth, variable=\x, cyclamen, ultra thick] plot ({\x},{exp(\x/5)}); \end{tikzpicture} \caption{Plot of the integral to be evaluated.} } \end{figure}

whose exact value is 1.7182818285...

The three most popular Monte Carlo (MC) methods where applied: plain MC, Miser and Vegas. Besides this popularity fact, these three method were chosen for being the only ones implemented in the GSL library.

Plain Monte Carlo

When the integral I over a $n-$dimensional space \Omega of volume V of a function f must be evaluated, that is:


  I = \int\limits_{\Omega} dx \, f(x)
  \with V = \int\limits_{\Omega} dx

the simplest MC method approach is to sample N points x_i evenly distributed in V and approx I as:


  I \sim I_N = \frac{V}{N} \sum_{i=1}^N f(x_i) = V \cdot \langle f \rangle

with I_N \rightarrow I for N \rightarrow + \infty for the law of large numbers. Hence, the sample variance can be extimated by the sample variance:


  \sigma^2_f = \frac{1}{N - 1} \sum_{i = 1}^N \left( f(x_i) - \langle f
  \rangle \right)^2 \et \sigma^2_I = \frac{V^2}{N^2} \sum_{i = 1}^N
  \sigma^2_f = \frac{V^2}{N} \sigma^2_f

Thus, the error decreases as 1/\sqrt{N}.
Unlike in deterministic methods, the estimate of the error is not a strict error bound: random sampling may not uncover all the important features of the integrand and this can result in an underestimate of the error.

In this case, f(x) = e^{x} and \Omega = [0,1].

Since the proximity of I_N to I is related to N, the accuracy of the method is determined by how many points are generated, namely how many function calls are exectuted when the method is implemented. In @tbl:MC, the obtained results and errors \sigma are shown. The estimated integrals for different numbers of calls are compared to the expected value I and the difference 'diff' between them is given.
As can be seen, the MC method tends to underestimate the error for scarse function calls. As previously stated, the higher the number of function calls, the better the estimation of I. A further observation regards the fact that, even with 50'000'000 calls, the I^{\text{oss}} still differs from I at the fifth decimal digit.

               500'000 calls     5'000'000 calls    50'000'000 calls

I^{\text{oss}} 1.7166435813 1.7181231109 1.7183387184

\sigma 0.0006955691 0.0002200309 0.0000695809

diff 0.0016382472 0.0001587176 0.0000568899

Table: MC results with different numbers of function calls. {#tbl:MC}

Stratified sampling

In statistics, stratified sampling is a method of sampling from a population partitioned into subpopulations. Stratification, indeed, is the process of dividing the primary sample into subgroups (strata) before sampling random within each stratum.
Given the mean \bar{x}_i and variance {\sigma^2_x}_i of an entity $x$ sorted with simple random sampling in each strata, such as:


  \bar{x}_i = \frac{1}{n_i} \sum_j x_j


  \sigma_i^2 = \frac{1}{n_i - 1} \sum_j \left( \frac{x_j - \bar{x}_i}{n_i}
               \right)^2
  \thus
  {\sigma^2_x}_i = \frac{1}{n_i^2} \sum_j \sigma_i^2 = \frac{\sigma_i^2}{n_i}

where:

j runs over the points x_j sampled in the i^{\text{th}} stratum
n_i is the number of points sorted in it
\sigma_i^2 is the variance associated with the j^{\text{th}} point

then the mean \bar{x} and variance \sigma_x^2 estimated with stratified sampling for the whole population are:


  \bar{x} = \frac{1}{N} \sum_i N_i \bar{x}_i \et
  \sigma_x^2 = \sum_i \left( \frac{N_i}{N} \right)^2 {\sigma_x}^2_i
             = \sum_i \left( \frac{N_i}{N} \right)^2 \frac{\sigma^2_i}{n_i}

where i runs over the strata, N_i is the weight of the $i^{\text{th}}$ stratum and N is the sum of all strata weights.

In practical terms, it can produce a weighted mean that has less variability than the arithmetic mean of a simple random sample of the whole population. In fact, if measurements within strata have lower standard deviation, the final result will have a smaller error in estimation with respect to the one otherwise obtained with simple sampling.
For this reason, stratified sampling is used as a method of variance reduction when MC methods are used to estimate population statistics from a known population.

MISER

The MISER technique aims to reduce the integration error through the use of recursive stratified sampling.
Consider two disjoint regions a and b with volumes V_a and V_b and Monte Carlo estimates I_a = V_a \cdot \langle f \rangle_a and $I_b = V_b \cdot \langle f \rangle_b$ of the integrals, where \langle f \rangle_a and $\langle f \rangle_b$ are the means of f of the points sorted in those regions, and variances \sigma_a^2 and \sigma_b^2 of those points. If the weights $N_a$ and N_b of I_a and I_b are unitary, then the variance \sigma_I^2 of the combined estimate I:

\textcolor{red}{QUI}


  I = \frac{1}{2} (I_a + I_b)

is given by:


  \sigma_I^2 = \frac{\sigma_a^2}{N_a} + \frac{\sigma_b^2}{N_b}

It can be shown that this variance is minimized by distributing the points such that:


  \frac{N_a}{N_a + N_b} = \frac{\sigma_a}{\sigma_a + \sigma_b}

Hence, the smallest error estimate is obtained by allocating sample points in proportion to the standard deviation of the function in each sub-region.

such that a \cup b = \Omega

When implemented, MISER is in fact a recursive method. With a given step, all the possible bisections are tested and the one which minimizes the combined variance of the two sub-regions is selected. The same procedure is then repeated recursively for each of the two half-spaces from the best bisection. At each recursion step, the integral and the error are estimated using a plain Monte Carlo algorithm.
After a given number of calls, the final individual values and their error estimates are then combined upwards to give an overall result and an estimate of its error.

Results for this particular sample are shown in @tbl:MISER.

               500'000 calls     5'000'000 calls    50'000'000 calls

I^{\text{oss}} 1.7182850738 1.7182819143 1.7182818221

\sigma 0.0000021829 0.0000001024 0.0000000049

diff 0.0000032453 0.0000000858 000000000064

Table: MISER results with different numbers of function calls. {#tbl:MISER}

The error, altough it lies always in the same order of magnitude of diff, seems to seesaw around the correct value as N varies.

VEGAS \textcolor{red}{WIP}

The VEGAS algorithm is based on importance sampling. It samples points from the probability distribution described by the function f, so that the points are concentrated in the regions that make the largest contribution to the integral.

In general, if the MC integral of f is sampled with points distributed according to a probability distribution g, the following estimate of the integral is obtained:


  E (f|g \, , \, N) \with \sigma^2(f|g \, , \, N)

If the probability distribution is chosen as g = f, it can be shown that the variance vanishes, and the error in the estimate will therefore be zero.
In practice, it is impossible to sample points from the exact distribution: only a good approximation can be achieved. In GSL, the VEGAS algorithm approximates the distribution by histogramming the function f in different subregions. Each histogram is used to define a sampling distribution for the next pass, which consists in doing the same thing recorsively: this procedure converges asymptotically to the desired distribution.

In order to avoid the number of histogram bins growing like K^d, the probability distribution is approximated by a separable function:


  f (x_1, x_2, \ldots) = f_1(x_1) f_2(x_2) \ldots

so that the number of bins required is only Kd. This is equivalent to locating the peaks of the function from the projections of the integrand onto the coordinate axes. The efficiency of VEGAS depends on the validity of this assumption. It is most efficient when the peaks of the integrand are well-localized. If an integrand can be rewritten in a form which is approximately separable this will increase the efficiency of integration with VEGAS.

VEGAS incorporates a number of additional features, and combines both stratified sampling and importance sampling. The integration region is divided into a number of “boxes”, with each box getting a fixed number of points (the goal is 2). Each box can then have a fractional number of bins, but if the ratio of bins-per-box is less than two, Vegas switches to a kind variance reduction (rather than importance sampling).

   calls     plain MC        Miser          Vegas

500'000   1.7166435813   1.7182850738   1.7182818354

5'000'000 1.7181231109 1.7182819143 1.7182818289

50'000'000 1.7183387184 1.7182818221 1.7182818285

Table: Results of the three methods. {#tbl:results}

   calls     plain MC        Miser          Vegas

500'000   0.0006955691   0.0000021829   0.0000000137

5'000'000 0.0002200309 0.0000001024 0.0000000004

50'000'000 0.0000695809 0.0000000049 0.0000000000

Table: $\sigma$s of the three methods. {#tbl:sigmas}

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