Exploring the Influence of Particle Filter Parameters on Order Effects

Total Page:16

File Type:pdf, Size:1020Kb

Exploring the Influence of Particle Filter Parameters on Order Effects Exploring the Influence of Particle Filter Parameters on Order Effects in Causal Learning Joshua T. Abbott ([email protected]) Thomas L. Griffiths (tom griffi[email protected]) Department of Psychology, University of California at Berkeley, Berkeley, CA 94720 USA Abstract Monte Carlo methods in particular: importance sampling and particle filtering. Importance sampling draws samples from The order in which people observe data has an effect on their subsequent judgments and inferences. While Bayesian mod- a known proposal distribution and weights these samples to els of cognition have had some success in predicting human correct for the difference from the desired target distribu- inferences, most of these models do not produce order effects, tion. Particle filters are a sequential Monte Carlo method that being unaffected by the order in which data are observed. Re- cent work has explored approximations to Bayesian inference uses importance sampling recursively. When approximating that make the underlying computations tractable, and also pro- Bayesian inference, the posterior distribution is represented duce order effects in a way that seems consistent with human using a set of discrete samples, known as particles, that are behavior. One of the most popular approximations of this kind is a sequential Monte Carlo method known as a particle fil- updated over time as more data are observed. These meth- ter. However, there has not been a systematic investigation of ods can be shown to be formally related to existing psycho- how the parameters of a particle filter influence its predictions, logical process models such as exemplar models (Shi et al., or what kinds of order effects (such as primacy or recency ef- fects) these models can produce. In this paper, we use a simple 2008), and can be used to explain behavioral data inconsistent causal learning task as the basis for an investigation of these with standard Bayesian models in categorization (Sanborn et issues. Both primacy and recency effects are seen in this task, al., 2006), sentence parsing (Levy et al., 2009), and classical and we demonstrate that both kinds of effects can result from different settings of the parameters of a particle filter. conditioning experiments (Daw & Courville, 2008). How- ever, there has not previously been a systematic investigation Keywords: particle filters; order effects; causal learning; ra- of how the parameters of these Monte Carlo methods affect tional process models the predictions they make. Introduction In this paper we explore how the parameters of particle How do people make such rapid inferences from the con- filters affect the predictions that they make about order ef- strained available data in the world and with limited cogni- fects, using a simple causal learning task to provide a context tive resources? Previous research has provided a great deal for this exploration. It is a common finding that the order of evidence that human inductive inference can be success- in which people receive information has an effect on their fully analyzed as Bayesian inference, using rational models of subsequent judgments and inferences (Dennis & Ahn, 2001; cognition (Anderson, 1990; Oaksford & Chater, 1998; Grif- Collins & Shanks, 2002). This poses a problem for rational fiths, Chater, Kemp, Perfors, & Tenenbaum, 2010). Ratio- models based on Bayesian inference as the process of updat- nal models answer questions at Marr’s (1982) computational ing hypotheses in these models is typically invariant to the or- level of analysis, producing solutions to why humans behave der in which the data are presented. Previous work has shown as they do, whereas traditional models from cognitive psy- that particle filters can produce order effects similar to those chology tend to analyze cognition on Marr’s level of algo- seen in human learners (e.g., Sanborn et al., 2006). However, rithm and representation, focusing instead on how cognitive this work has focused on primacy effects, in which initial ob- processes support these behaviors. Although Bayesian mod- servations have an overly strong influence on people’s con- els have become quite popular in recent years, it remains un- clusions. In other settings, people produce recency effects, clear what psychological mechanisms could be responsible being more influenced by more recent observations. Causal for carrying out these computations. Of particular concern learning tasks can result in both primacy and recency effects, is that the amount of computation required in these models with surprisingly subtle differences in the task leading to one becomes intractable in real-world scenarios with many vari- or the other (Dennis & Ahn, 2001; Collins & Shanks, 2002). ables, yet people make rather accurate inferences effortlessly Causal learning thus provides an ideal domain in which to in their everyday lives. Are people implicitly approximating examine how the parameters of particle filters influence their these probabilistic computations? predictions, and what kinds of order effects these models can Monte Carlo methods have become a primary candidate produce. for connecting the computational and algorithmic levels of The plan of the paper is as follows. In the next section analysis (Sanborn, Griffiths, & Navarro, 2006; Levy, Reali, we discuss previous empirical and theoretical work on human & Griffiths, 2009; Shi, Feldman, & Griffiths, 2008). The ba- causal learning, showing different kinds of observed order ef- sic principle underlying Monte Carlo methods is to approxi- fects and providing the Bayesian framework we will be work- mate a probability distribution using only a finite set of sam- ing in. We then formally introduce particle filters, followed ples from that distribution. Recent work has focused on two by our investigation of how varying certain particle filter pa- rameters controls order effects. After this, we use our new- found understanding of the parameters to model different or- B C Figure 1: Directed graph in- der effects in previous experiments. Finally, we discuss the volving three binary variables SS –(B)ackground, (C)ause, and implications of our work and future directions for research. 0 1 (E)ffect – relevant to causal induc- Order Effects in Causal Learning tion, and two edge weights – s0 E and s1 – indicating how strongly We focus our investigation of order effects in causal learning B and C influence E, respectively. on a pair of studies based on sequences of covarying events. Dennis and Ahn (2001) presented participants with a series of trials indicating whether or not a plant was ingested and Using this graphical model we are interested in the condi- whether or not this resulted in an allergic reaction. The se- tional probability P(EjB;C) and want to evaluate how well quence of trials was split into two equal blocks of covarying the strength weights predict the observed data. Motivated events; one primarily indicating a generative causal relation- by the models used in Griffiths and Tenenbaum (2005) and ship between plant and reaction, and the other primarily in- Cheng (1997), we define the conditional probability using dicating a preventative relationship. The overall contingency the noisy-OR and noisy-AND-NOT functions for generative of the combined blocks was 0. The blocks were presented and preventative causes respectively. Assuming a background one after the other, with the initial block chosen randomly, cause is always present (ie. B = 1), we will get a sequence of and after observing all trials participants were asked to make events in the form “Cause was (C = 1) or was not (C = 0) a strength judgement (-100 to 100) on the causal relationship present and an effect did (E = 1) or did not (E = 0) occur”. they thought existed between plant and reaction. After an- This gives us four possible conditions to evaluate. Depending swering, the blocks were presented again in reverse order and on the sign of s1 – the strength of C causing/preventing E, we the subjects were asked to make another judgement. If the compute either the noisy-OR (s1 ≥ 0, a generative cause) or generative relationship block was presented first, followed by the noisy-AND-NOT (s1 < 0, a preventative cause). Table 1 the preventative block, participants responded with a pref- presents the resulting probabilities. erence for a generative relationship (M=17.67, SD=25.66). However, if the preventative block was presented first, partic- Table 1: The noisy-OR (s is positive) and noisy-AND-NOT ipants responded that only a weak preventive causal relation- 1 (s is negative) functions ship existed (M=-5.50, SD=22.27). These results indicate a 1 primacy effect in favor of generative causal relationships. C E s1 is positive s1 is negative The primacy effect found by Dennis and Ahn (2001) was 1 1 s0 + s1 − s0s1 s0(1 + s1) contradictory to previous models of associative strength that 1 0 1 − (s0 + s1 − s0s1) 1 − [s0(1 + s1)] showed recency effects, and a subsequent follow-up study 0 1 s0 s0 was conducted that examined the role of judgment frequency 0 0 1 − s0 1 − s0 in producing different kinds of order effects (Collins & Shanks, 2002). In this study, the authors used exactly the To complete the definition of this Bayesian model, we same trial sequence as Dennis and Ahn (2001), but asked the need to specify the prior distribution that is assumed on the participants for a causal strength judgment after every 10 tri- strengths s0 and s1. Our starting assumption is that these als rather than just one final strength judgement. Making fre- weights are each drawn from a uniform prior over their en- quent judgments resulted in recency effects, with participants tire range, with s0 ∼ Uniform(0;1) and s1 ∼ Uniform(−1;1), producing more generative estimates when they saw the gen- where negative values of s imply a preventative cause, as de- erative data most recently (M=58.4, SD=34.2), and more pre- 1 tailed above.
Recommended publications
  • Kalman and Particle Filtering
    Abstract: The Kalman and Particle filters are algorithms that recursively update an estimate of the state and find the innovations driving a stochastic process given a sequence of observations. The Kalman filter accomplishes this goal by linear projections, while the Particle filter does so by a sequential Monte Carlo method. With the state estimates, we can forecast and smooth the stochastic process. With the innovations, we can estimate the parameters of the model. The article discusses how to set a dynamic model in a state-space form, derives the Kalman and Particle filters, and explains how to use them for estimation. Kalman and Particle Filtering The Kalman and Particle filters are algorithms that recursively update an estimate of the state and find the innovations driving a stochastic process given a sequence of observations. The Kalman filter accomplishes this goal by linear projections, while the Particle filter does so by a sequential Monte Carlo method. Since both filters start with a state-space representation of the stochastic processes of interest, section 1 presents the state-space form of a dynamic model. Then, section 2 intro- duces the Kalman filter and section 3 develops the Particle filter. For extended expositions of this material, see Doucet, de Freitas, and Gordon (2001), Durbin and Koopman (2001), and Ljungqvist and Sargent (2004). 1. The state-space representation of a dynamic model A large class of dynamic models can be represented by a state-space form: Xt+1 = ϕ (Xt,Wt+1; γ) (1) Yt = g (Xt,Vt; γ) . (2) This representation handles a stochastic process by finding three objects: a vector that l describes the position of the system (a state, Xt X R ) and two functions, one mapping ∈ ⊂ 1 the state today into the state tomorrow (the transition equation, (1)) and one mapping the state into observables, Yt (the measurement equation, (2)).
    [Show full text]
  • A Fourier-Wavelet Monte Carlo Method for Fractal Random Fields
    JOURNAL OF COMPUTATIONAL PHYSICS 132, 384±408 (1997) ARTICLE NO. CP965647 A Fourier±Wavelet Monte Carlo Method for Fractal Random Fields Frank W. Elliott Jr., David J. Horntrop, and Andrew J. Majda Courant Institute of Mathematical Sciences, 251 Mercer Street, New York, New York 10012 Received August 2, 1996; revised December 23, 1996 2 2H k[v(x) 2 v(y)] l 5 CHux 2 yu , (1.1) A new hierarchical method for the Monte Carlo simulation of random ®elds called the Fourier±wavelet method is developed and where 0 , H , 1 is the Hurst exponent and k?l denotes applied to isotropic Gaussian random ®elds with power law spectral the expected value. density functions. This technique is based upon the orthogonal Here we develop a new Monte Carlo method based upon decomposition of the Fourier stochastic integral representation of the ®eld using wavelets. The Meyer wavelet is used here because a wavelet expansion of the Fourier space representation of its rapid decay properties allow for a very compact representation the fractal random ®elds in (1.1). This method is capable of the ®eld. The Fourier±wavelet method is shown to be straightfor- of generating a velocity ®eld with the Kolmogoroff spec- ward to implement, given the nature of the necessary precomputa- trum (H 5 Ad in (1.1)) over many (10 to 15) decades of tions and the run-time calculations, and yields comparable results scaling behavior comparable to the physical space multi- with scaling behavior over as many decades as the physical space multiwavelet methods developed recently by two of the authors.
    [Show full text]
  • Fourier, Wavelet and Monte Carlo Methods in Computational Finance
    Fourier, Wavelet and Monte Carlo Methods in Computational Finance Kees Oosterlee1;2 1CWI, Amsterdam 2Delft University of Technology, the Netherlands AANMPDE-9-16, 7/7/2016 Kees Oosterlee (CWI, TU Delft) Comp. Finance AANMPDE-9-16 1 / 51 Joint work with Fang Fang, Marjon Ruijter, Luis Ortiz, Shashi Jain, Alvaro Leitao, Fei Cong, Qian Feng Agenda Derivatives pricing, Feynman-Kac Theorem Fourier methods Basics of COS method; Basics of SWIFT method; Options with early-exercise features COS method for Bermudan options Monte Carlo method BSDEs, BCOS method (very briefly) Kees Oosterlee (CWI, TU Delft) Comp. Finance AANMPDE-9-16 1 / 51 Agenda Derivatives pricing, Feynman-Kac Theorem Fourier methods Basics of COS method; Basics of SWIFT method; Options with early-exercise features COS method for Bermudan options Monte Carlo method BSDEs, BCOS method (very briefly) Joint work with Fang Fang, Marjon Ruijter, Luis Ortiz, Shashi Jain, Alvaro Leitao, Fei Cong, Qian Feng Kees Oosterlee (CWI, TU Delft) Comp. Finance AANMPDE-9-16 1 / 51 Feynman-Kac theorem: Z T v(t; x) = E g(s; Xs )ds + h(XT ) ; t where Xs is the solution to the FSDE dXs = µ(Xs )ds + σ(Xs )d!s ; Xt = x: Feynman-Kac Theorem The linear partial differential equation: @v(t; x) + Lv(t; x) + g(t; x) = 0; v(T ; x) = h(x); @t with operator 1 Lv(t; x) = µ(x)Dv(t; x) + σ2(x)D2v(t; x): 2 Kees Oosterlee (CWI, TU Delft) Comp. Finance AANMPDE-9-16 2 / 51 Feynman-Kac Theorem The linear partial differential equation: @v(t; x) + Lv(t; x) + g(t; x) = 0; v(T ; x) = h(x); @t with operator 1 Lv(t; x) = µ(x)Dv(t; x) + σ2(x)D2v(t; x): 2 Feynman-Kac theorem: Z T v(t; x) = E g(s; Xs )ds + h(XT ) ; t where Xs is the solution to the FSDE dXs = µ(Xs )ds + σ(Xs )d!s ; Xt = x: Kees Oosterlee (CWI, TU Delft) Comp.
    [Show full text]
  • Efficient Monte Carlo Methods for Estimating Failure Probabilities
    Reliability Engineering and System Safety 165 (2017) 376–394 Contents lists available at ScienceDirect Reliability Engineering and System Safety journal homepage: www.elsevier.com/locate/ress ffi E cient Monte Carlo methods for estimating failure probabilities MARK ⁎ Andres Albana, Hardik A. Darjia,b, Atsuki Imamurac, Marvin K. Nakayamac, a Mathematical Sciences Dept., New Jersey Institute of Technology, Newark, NJ 07102, USA b Mechanical Engineering Dept., New Jersey Institute of Technology, Newark, NJ 07102, USA c Computer Science Dept., New Jersey Institute of Technology, Newark, NJ 07102, USA ARTICLE INFO ABSTRACT Keywords: We develop efficient Monte Carlo methods for estimating the failure probability of a system. An example of the Probabilistic safety assessment problem comes from an approach for probabilistic safety assessment of nuclear power plants known as risk- Risk analysis informed safety-margin characterization, but it also arises in other contexts, e.g., structural reliability, Structural reliability catastrophe modeling, and finance. We estimate the failure probability using different combinations of Uncertainty simulation methodologies, including stratified sampling (SS), (replicated) Latin hypercube sampling (LHS), Monte Carlo and conditional Monte Carlo (CMC). We prove theorems establishing that the combination SS+LHS (resp., SS Variance reduction Confidence intervals +CMC+LHS) has smaller asymptotic variance than SS (resp., SS+LHS). We also devise asymptotically valid (as Nuclear regulation the overall sample size grows large) upper confidence bounds for the failure probability for the methods Risk-informed safety-margin characterization considered. The confidence bounds may be employed to perform an asymptotically valid probabilistic safety assessment. We present numerical results demonstrating that the combination SS+CMC+LHS can result in substantial variance reductions compared to stratified sampling alone.
    [Show full text]
  • Basic Statistics and Monte-Carlo Method -2
    Applied Statistical Mechanics Lecture Note - 10 Basic Statistics and Monte-Carlo Method -2 고려대학교 화공생명공학과 강정원 Table of Contents 1. General Monte Carlo Method 2. Variance Reduction Techniques 3. Metropolis Monte Carlo Simulation 1.1 Introduction Monte Carlo Method Any method that uses random numbers Random sampling the population Application • Science and engineering • Management and finance For given subject, various techniques and error analysis will be presented Subject : evaluation of definite integral b I = ρ(x)dx a 1.1 Introduction Monte Carlo method can be used to compute integral of any dimension d (d-fold integrals) Error comparison of d-fold integrals Simpson’s rule,… E ∝ N −1/ d − Monte Carlo method E ∝ N 1/ 2 purely statistical, not rely on the dimension ! Monte Carlo method WINS, when d >> 3 1.2 Hit-or-Miss Method Evaluation of a definite integral b I = ρ(x)dx a h X X X ≥ ρ X h (x) for any x X Probability that a random point reside inside X O the area O O I N' O O r = ≈ O O (b − a)h N a b N : Total number of points N’ : points that reside inside the region N' I ≈ (b − a)h N 1.2 Hit-or-Miss Method Start Set N : large integer N’ = 0 h X X X X X Choose a point x in [a,b] = − + X Loop x (b a)u1 a O N times O O y = hu O O Choose a point y in [0,h] 2 O O a b if [x,y] reside inside then N’ = N’+1 I = (b-a) h (N’/N) End 1.2 Hit-or-Miss Method Error Analysis of the Hit-or-Miss Method It is important to know how accurate the result of simulations are The rule of 3σ’s Identifying Random Variable N = 1 X X n N n=1 From
    [Show full text]
  • A Tutorial on Quantile Estimation Via Monte Carlo
    A Tutorial on Quantile Estimation via Monte Carlo Hui Dong and Marvin K. Nakayama Abstract Quantiles are frequently used to assess risk in a wide spectrum of applica- tion areas, such as finance, nuclear engineering, and service industries. This tutorial discusses Monte Carlo simulation methods for estimating a quantile, also known as a percentile or value-at-risk, where p of a distribution’s mass lies below its p-quantile. We describe a general approach that is often followed to construct quantile estimators, and show how it applies when employing naive Monte Carlo or variance-reduction techniques. We review some large-sample properties of quantile estimators. We also describe procedures for building a confidence interval for a quantile, which provides a measure of the sampling error. 1 Introduction Numerous application settings have adopted quantiles as a way of measuring risk. For a fixed constant 0 < p < 1, the p-quantile of a continuous random variable is a constant x such that p of the distribution’s mass lies below x. For example, the median is the 0:5-quantile. In finance, a quantile is called a value-at-risk, and risk managers commonly employ p-quantiles for p ≈ 1 (e.g., p = 0:99 or p = 0:999) to help determine capital levels needed to be able to cover future large losses with high probability; e.g., see [33]. Nuclear engineers use 0:95-quantiles in probabilistic safety assessments (PSAs) of nuclear power plants. PSAs are often performed with Monte Carlo, and the U.S. Nuclear Regulatory Commission (NRC) further requires that a PSA accounts for the Hui Dong Amazon.com Corporate LLC∗, Seattle, WA 98109, USA e-mail: [email protected] ∗This work is not related to Amazon, regardless of the affiliation.
    [Show full text]
  • Two-Dimensional Monte Carlo Filter for a Non-Gaussian Environment
    electronics Article Two-Dimensional Monte Carlo Filter for a Non-Gaussian Environment Xingzi Qiang 1 , Rui Xue 1,* and Yanbo Zhu 2 1 School of Electrical and Information Engineering, Beihang University, Beijing 100191, China; [email protected] 2 Aviation Data Communication Corporation, Beijing 100191, China; [email protected] * Correspondence: [email protected] Abstract: In a non-Gaussian environment, the accuracy of a Kalman filter might be reduced. In this paper, a two- dimensional Monte Carlo Filter is proposed to overcome the challenge of the non-Gaussian environment for filtering. The two-dimensional Monte Carlo (TMC) method is first proposed to improve the efficacy of the sampling. Then, the TMC filter (TMCF) algorithm is proposed to solve the non-Gaussian filter problem based on the TMC. In the TMCF, particles are deployed in the confidence interval uniformly in terms of the sampling interval, and their weights are calculated based on Bayesian inference. Then, the posterior distribution is described more accurately with less particles and their weights. Different from the PF, the TMCF completes the transfer of the distribution using a series of calculations of weights and uses particles to occupy the state space in the confidence interval. Numerical simulations demonstrated that, the accuracy of the TMCF approximates the Kalman filter (KF) (the error is about 10−6) in a two-dimensional linear/ Gaussian environment. In a two-dimensional linear/non-Gaussian system, the accuracy of the TMCF is improved by 0.01, and the computation time reduced to 0.067 s from 0.20 s, compared with the particle filter.
    [Show full text]
  • The Monte Carlo Method
    The Monte Carlo Method Introduction Let S denote a set of numbers or vectors, and let real-valued function g(x) be defined over S. There are essentially three fundamental computational problems associated with S and g. R Integral Evaluation Evaluate S g(x)dx. Note that if S is discrete, then integration can be replaced by summation. Optimization Find x0 2 S that minimizes g over S. In other words, find x0 2 S such that, for all x 2 S, g(x0) ≤ g(x). Mixed Optimization and Integration If g is defined over the space S × Θ, where Θ is a param- R eter space, then the problem is to determine θ 2 Θ for which S g(x; θ)dx is a minimum. The mathematical disciplines of real analysis (e.g. calculus), functional analysis, and combinatorial optimization offer deterministic algorithms for solving these problems (by solving we mean finding an exact solution or an approximate solution) for special instances of S and g. For example, if S is a closed interval of numbers [a; b] and g is a polynomial, then Z Z b g(x)dx = g(x)dx = G(b) − G(a); S a where G is an antiderivative of g. As another example, if G = (V; E; w) is a connected weighted simple graph, S is the set of all spanning trees of G, and g(x) denotes the sum of all the weights on the edges of spanning tree x, then Prim's algorithm may be used to find a spanning tree of G that minimizes g.
    [Show full text]
  • Fundamentals of the Monte Carlo Method for Neutral and Charged Particle Transport
    Fundamentals of the Monte Carlo method for neutral and charged particle transport Alex F Bielajew The University of Michigan Department of Nuclear Engineering and Radiological Sciences 2927 Cooley Building (North Campus) 2355 Bonisteel Boulevard Ann Arbor, Michigan 48109-2104 U. S. A. Tel: 734 764 6364 Fax: 734 763 4540 email: [email protected] c 1998—2020 Alex F Bielajew c 1998—2020 The University of Michigan May 31, 2020 2 Preface This book arises out of a course I am teaching for a two-credit (26 hour) graduate-level course Monte Carlo Methods being taught at the Department of Nuclear Engineering and Radiological Sciences at the University of Michigan. AFB, May 31, 2020 i ii Contents 1 What is the Monte Carlo method? 1 1.1 WhyisMonteCarlo?............................... 7 1.2 Somehistory ................................... 11 2 Elementary probability theory 15 2.1 Continuousrandomvariables .......................... 15 2.1.1 One-dimensional probability distributions . 15 2.1.2 Two-dimensional probability distributions . 24 2.1.3 Cumulative probability distributions . 27 2.2 Discreterandomvariables ............................ 27 3 Random Number Generation 31 3.1 Linear congruential random number generators. ...... 32 3.2 Long sequence random number generators . .... 36 4 Sampling Theory 41 4.1 Invertible cumulative distribution functions (direct method) . ...... 42 4.2 Rejectionmethod................................. 46 4.3 Mixedmethods .................................. 49 4.4 Examples of sampling techniques . 50 4.4.1 Circularly collimated parallel beam . 50 4.4.2 Point source collimated to a planar circle . 52 4.4.3 Mixedmethodexample.......................... 53 iii iv CONTENTS 4.4.4 Multi-dimensional example . 55 5 Error estimation 59 5.1 Directerrorestimation .............................. 62 5.2 Batch statistics error estimation .
    [Show full text]
  • Monte Carlo Method - Wikipedia
    2. 11. 2019 Monte Carlo method - Wikipedia Monte Carlo method Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness to solve problems that might be deterministic in principle. They are often used in physical and mathematical problems and are most useful when it is difficult or impossible to use other approaches. Monte Carlo methods are mainly used in three problem classes:[1] optimization, numerical integration, and generating draws from a probability distribution. In physics-related problems, Monte Carlo methods are useful for simulating systems with many coupled degrees of freedom, such as fluids, disordered materials, strongly coupled solids, and cellular structures (see cellular Potts model, interacting particle systems, McKean–Vlasov processes, kinetic models of gases). Other examples include modeling phenomena with significant uncertainty in inputs such as the calculation of risk in business and, in mathematics, evaluation of multidimensional definite integrals with complicated boundary conditions. In application to systems engineering problems (space, oil exploration, aircraft design, etc.), Monte Carlo–based predictions of failure, cost overruns and schedule overruns are routinely better than human intuition or alternative "soft" methods.[2] In principle, Monte Carlo methods can be used to solve any problem having a probabilistic interpretation. By the law of large numbers, integrals described by the expected value of some random variable can be approximated by taking the empirical mean (a.k.a. the sample mean) of independent samples of the variable. When the probability distribution of the variable is parametrized, mathematicians often use a Markov chain Monte Carlo (MCMC) sampler.[3][4][5][6] The central idea is to design a judicious Markov chain model with a prescribed stationary probability distribution.
    [Show full text]
  • (MC) Simulation for System Reliability
    Monte Carlo (MC) simulation for system reliability By Fares Innal RAMS Group Department of Production and Quality Engineering NTNU Lecture plan 1. Motivation: MC simulation is a necessary method for complexe systems reliability analysis. 2. MC simulation principle 3. Random number generation (RNG) 4. Probability distributions simulation 5. Simulation realization (History) 6. Output analysis and data accuracy 7. Example 8. MC simulation and uncertainty propagation 2 2 1. Motivation: MC simulation is a necessity Analytical approaches become impractical: Complex systems • Approximated representation that does • High system states number not fit to the real system • Non constant failure (component • Extensive time for the aging) and repair rates development of the • Components dependency: standby, analytical model ... • Infeasible • Complex maintenance strategies: spare parts, priority, limited resources,… • Multi-phase systems (MPS) Simulation is required: a common • Multi-state systems (MSS) paradigm and a powerful tool for • Reconfigurable systems analyzing complex systems, due to • … its capability of achieving a closer adherence to reality. It provides a simplified representation of the system under study. 3 3 1. Motivation: example Analytical approaches Markov chains λC2 C1 Fault tree λ Only one repair man C1 C2* C1 (1) C2 Non constant repair S is available with FIFO μ rates (e.g. lognormal) repair strategy C1 μ C1* C1 C2* μC2 μ C1 C1 C2 C2 C2 (1) • Markov chains λC2 C1* become impractical. C2 • Strong complications for other analytical λC1 approaches MC simulation 4 4 2. MC simulation principle : definitions MC simulation may be defined as a process for obtaining estimates (numeric values) for a given system (guided by a prescribed set of goals) by means of random numbers.
    [Show full text]
  • Applications of Monte Carlo Methods in Statistical Inference Using Regression Analysis Ji Young Huh Claremont Mckenna College
    Claremont Colleges Scholarship @ Claremont CMC Senior Theses CMC Student Scholarship 2015 Applications of Monte Carlo Methods in Statistical Inference Using Regression Analysis Ji Young Huh Claremont McKenna College Recommended Citation Huh, Ji Young, "Applications of Monte Carlo Methods in Statistical Inference Using Regression Analysis" (2015). CMC Senior Theses. Paper 1160. http://scholarship.claremont.edu/cmc_theses/1160 This Open Access Senior Thesis is brought to you by Scholarship@Claremont. It has been accepted for inclusion in this collection by an authorized administrator. For more information, please contact [email protected]. CLAREMONT MCKENNA COLLEGE Applications of Monte Carlo Methods in Statistical Inference Using Regression Analysis SUBMITTED TO Professor Manfred Werner Keil AND Professor Mark Huber AND Dean Nicholas Warner BY Ji Young Huh for SENIOR THESIS Spring 2015 April 27, 2015 ABSTRACT This paper studies the use of Monte Carlo simulation techniques in the field of econometrics, specifically statistical inference. First, I examine several estimators by deriving properties explicitly and generate their distributions through simulations. Here, simulations are used to illustrate and support the analytical results. Then, I look at test statistics where derivations are costly because of the sensitivity of their critical values to the data generating processes. Simulations here establish significance and necessity for drawing statistical inference. Overall, the paper examines when and how simulations are needed in studying econometric theories. ACKNOWLEDGEMENTS This thesis has a special meaning to me as the first product of my independent academic endeavor that I particularly felt passionate about. I feel very fortunate to have had such a valuable opportunity in my undergraduate career.
    [Show full text]