Monte Carlo

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Monte Carlo

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Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Stphane Paltani

ISDC Data Center for Astrophysics

Astronomical Observatory of the University of Geneva

Error estimation

Numerical

integration

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error estimation

Numerical integration

Optimization

Numerical

integration

Optimization

Caveat

Monte Carlo

Methods

Stphane Paltani

presenting usable recipes

Do not expect a fully mathematically rigorous description!

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

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

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

General concepts

Applications

Simple examples

Generation of random variables

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

General concepts

Monte Carlo

Methods

Stphane Paltani

Monte-Carlo methods:

I

development of the atomic bomb in the 1940s

solutions dont exist or are too difficult to implement

analytical or numerical solution can be implemented

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Generation of

random variables

the above properties

Markov chains

Monte-Carlo

Numerical

integration

Optimization

Error estimation

Outline

Monte Carlo

Methods

Stphane Paltani

General concepts

Applications

Simple examples

Generation of random variables

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

Numerical integration

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Generation of

random variables

Monte-Carlo integration is the most common application

of Monte-Carlo methods

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

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Error estimation

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

one is able to sample properly the distribution with a

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

can be used to:

I

variance,. . . )

determine confidence

intervals, i.e.

R

P(x > ) = f (x)dx

P(x), find P(h(x)), h(x) = x 2 ; cos(x) sin(x); . . .

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Optimization problems

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Generation of

random variables

risk of getting stuck in local minima.

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

permitting random exit from the local minimum and find

another, hopefully better minimum

Numerical simulations

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

astrophysical application of Monte-Carlo simulations

in astrophysics

many more physical processes can be simulated

nature, so Monte-Carlo is particularly adapted

Optimization

Numerical simulations

GEANT4

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

X-ray and gamma-ray detectors for astrophysics

Outline

Monte Carlo

Methods

Stphane Paltani

General concepts

Applications

Simple examples

Generation of random variables

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

Probability estimation

Head vs tail probability

one draws a coin ten times?

I

Stphane Paltani

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

Binomial probability:

P = B(3; 10, 0.5)+B(6; 10, 0.5)+B(9; 10, 0.5) ' 0.33

Generation of

random variables

Monte-Carlo simulation:

Markov chains

Monte-Carlo

y < 0.5, tail otherwise

2. Draw 10 random variables xi U(0, 1), i = 1, . . . , 10

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

Monte Carlo

Methods

distribution, even if it is discrete!

Error estimation

Numerical

integration

Optimization

Error estimation

What is the uncertainty on the mean?

PN), i = 1, . . . , N,

1

the estimator of the mean is: x = N

i=1 xi and its

uncertainty is:

x = / N

The Monte-Carlo way:

1. Draw a set of N random variables

yi N (0, ), i = 1, . . . , N

P

2. Calculate the sample mean y = N 1 N

i=1 yi

3. Redo 1.2. M times

4. The uncertainty on the mean x is the root mean

square of yj , j = 1, . . . , M, i.e.

P

PM

1

2

x2 = (M 1)1 M

j=1 yj y , with y = M

j=1 yj

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Numerical integration

How to calculate ?

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

General concepts

Applications

Simple examples

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

2. Count the C points for which x 2 + y 2 < 1

3. The ratio C/N converges towards /4 as N 1/2

Outline

Monte Carlo

Methods

Stphane Paltani

Generation of random variables

Random-number generators

Transformation method

Rejection method

Quasi-random sequences

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

Basic principles

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Ni U(0, 1), i = 1, . . . which satisfy (or approximate

sufficiently well) all randomness properties

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

f (Ni , Nj , . . .) i, j, . . . has also the right properties

Correlations in k -space are often found with a bad

random-number generators

Do not use this function in applications when good

randomness is needed says man 3 rand

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Basic algorithm

Monte Carlo

Methods

Stphane Paltani

recurrence relation:

Nj+1 = a Nj + c (mod m)

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

actually useless.

I

range from very bad to relatively good

m = 231 1 = 2147483647. This is RAN0

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Improvements on RAN0

values, i.e. if Ni = 106 , Ni+1 0.016, failing a

simple statistical test

I

values ( 32), and at each new call pick one at

random. This is RAN1

I

(slightly) different ms (and as). The period is the

least common multiple of m1 and m2 2 1018 . This

is RAN2

I

using unsigned long. Patch the bits into a real

number (machine dependent). This is RANQD2

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Monte Carlo

Methods

Implementations and recommendations

Stphane Paltani

What are

Monte-Carlo

methods?

GSL: GNU Scientific Library

Library

Generator

Generation of

random variables

Relative speed

Period

231

NR

NR

NR

NR

RAN0

RAN1

RAN2

RANQD2

1.0

1.3

2.0

0.25

236

262

230

GSL

GSL

GSL

MT19937

TAUS

RANLXD2

0.8

0.6

8.0

219937

288

2400

Always use GSL! See the GSL doc for the many more

algorithms available

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

Generation of random variables

Random-number generators

Transformation method

Rejection method

Quasi-random sequences

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

Transformation method

The method

values at random from any distribution

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

distribution

Ry

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)

Numerical

integration

Optimization

Transformation method

Example

Monte Carlo

Methods

Stphane Paltani

F (y ) = 1 ey = x

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

1

y (x) = ln(1 x)

1

y (x) = ln(x),

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

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Transformation method

A point in space

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

1. can be drawn uniformly from U(0, 2)

2. has a sine distribution p() = sin()/2, [0; [

Transformation: = 2 arccos(x)

3. Each

radius shell has a volume f (R) R 2 dR, so

3

x

R

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)

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

Generation of random variables

Random-number generators

Transformation method

Rejection method

Quasi-random sequences

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

Rejection method

The method

forget about inversion), the rejection method can be used

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

sampled, so that f (x) p(x), x

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)

Numerical

integration

Optimization

Monte Carlo

Methods

Rejection method

Example

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

n e

n!

Make it continuous:

P(x; ) =

A Lorentzian f (x)

function

1

(x)2 +c 2

[x] e

[x]!

is a good comparison

Numerical

integration

Optimization

Rejection method

A point in space

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

of radius R based on rejection:

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

Efficiency is

4

3

3 /2

' 0.52

Numerical

integration

Optimization

Distributions

Monte Carlo

Methods

Stphane Paltani

Gaussian

Binomial

Correlated bivariate Gaussian Poisson

Exponential

Laplace

Cauchy

Spherical 2D, 3D

Rayleigh

Landau

Log-normal

Gamma, beta

2 , F, t

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

Generation of random variables

Random-number generators

Transformation method

Rejection method

Quasi-random sequences

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

Quasi-random sequences

What is random?

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

All sets of points fill randomly the area [[0; 1]; [0; 1]]

The left and center images are sub-random and fill more

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

Error estimation

Numerical

integration

Optimization

Quasi-random sequences

Filling of the plane

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Quasi-random sequences

Examples of algorithms

code and put a radix in front: 0.1, 0.11, 0.01, 0.011,

0.001, 0.101, 0.111, . . .

This can be generalized to N dimensions

This is the red set of points

Haltons sequence: H(i) is constructed the following

way: take i expressed in a (small) prime-number

base b (say b = 3), e.g. i = 17 122 (base 3).

Reverse the digits and put a radix in front, i.e.

H(17) = 0.221 (base 3) ' 0.92593

This is generalized to N dimensions by choosing

different bs in each dimension

This is the blue set of points

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Quasi-random sequences

Accuracy

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

reach 1/N

Quasi-random sequences

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Random-number

generators

I

Sobols sequence

Haltons sequence

Niederreiters sequence

Transformation method

Rejection method

Quasi-random sequences

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

Markov chains

Definition

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

P(xi+1 = x|x1 , . . . , xi ) = P(xi+1 = x|xi )

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

Monte Carlo

Methods

Markov chains

Examples

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

State machine

Markov chains

Monte-Carlo

White noise:

xi+1 = i , i N (, )

Random walk:

xi+1 = xi + i , i N (, )

AR[1] process:

xi+1 = xi + i , i N (, ),

|| < 1

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Googles PageRank

Error estimation

Numerical

integration

Optimization

Monte Carlo

Methods

Markov chains

Properties

Homogeneity:

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Ergodicity:

Markov chains

Monte-Carlo

Markov chains

(Probably only valid when the number of states is

finite)

Ergodicity means that all possible states will be

reached at some point

I

Reversibility:

A Markov chain is reversible if

there exists a distribution (x) such that:

()P(xi+1 = |xi = ) = ()P(xi+1 = |xi = ),

i, ,

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

Monte Carlo

Methods

Markov chains

More on reversibility

Stphane Paltani

What are

Monte-Carlo

methods?

Z

Z

()P(xi+1 = |xi = ) =

()P(xi+1 = |xi = ) =

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Z

P(xi+1 = |xi = ) = ()

= ()

the equilibrium distribution of the Markov chain.

Numerical

integration

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

Definition

requested equilibrium distribution? YES!! The answer is

Markov chain Monte-Carlo

I

(along with FFT, QR decomposition, Quicksort, . . . )

MCMC uses a homogeneous, ergodic and reversible

Markov chain to generate consistent samples drawn

from any given distribution

support function is required

even straightforward

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

The Metropolis algorithm

1. Choose a proposal distribution p(x) and an initial

value x1

2. Select a candidate step using p(x), so that:

x = xi + , p(x)

3. If f (x ) > f (xi ) accept xi+1 = x , otherwise accept

xi+1 = x with a probability f (x )/f (xi ), else reject and

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

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

Random walk MCMC

constant, i.e. x = xi + i , i p(x):

I

Students t update

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

Non random walk MCMC

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

This is equivalent to the rejection method

Langevin update: x = xi + i + 2 log f (xi ). Uses

some information about f (x) to propose a better

move

Gareths diffusion: Gaussian update, but

(xi ) = (maxx f (x))/f (xi ). Makes bigger steps if we

are in an area with small probability

Gaussian AR[1] update:

x = a + b(xi a) + i , i N (0, ), |b| 1. Not sure

what good this does

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

Further notes on implementations

I

70% are conventionally accepted

function is a standard way to check if the initial value

has become irrelevant or not

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Gaussian update or for a uniform update) should

be tuned during the burning phase to set the

rejection fraction in the right bracket

reached, e.g. set x = |xi + i | if xi must remain

positive

modes may be sampled

Error estimation

Numerical

integration

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

Error estimation

Numerical integration

Optimization

Metropolis-Hastings MCMC

Limitations of the Metropolis algorithm

I

optimal

boundaries, which might not be well sampled

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

correct for the bias

however more important

Metropolis-Hastings MCMC

The Hastings ratio

so that instead of:

f (x )

A = min 1,

f (xi )

the probability is corrected by the Hastings ratio:

f (x ) Q(x ; xi )

A = min 1,

f (xi ) Q(xi ; x )

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Markov chains

Markov chains Monte-Carlo

Metropolis-Hastings MCMC

Error estimation

Numerical

integration

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error distribution

Error propagation

Error estimation

Error distribution

Error propagation

Resampling methods: bootstrap

Numerical integration

Optimization

Resampling methods:

bootstrap

Numerical

integration

Optimization

Error distribution

When hypotheses are not satisfied

Monte Carlo

Methods

Stphane 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 null-hypothesis probability that there is no correlation

is 0.005

Error distribution

When hypotheses are not satisfied

Monte Carlo

Methods

Stphane 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

accessible

The correct probability can be estimated using a

Monte-Carlo simulation

Error distribution

Using Monte-Carlo simulations

Monte Carlo

Methods

Stphane 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

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

Optimization

Statistical significance

Monte Carlo

Methods

Stphane 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

Use a Kolmogorov-Smirnov test QKS , and then use the

null-hypothesis probabilities for this test

OK, but I do not know

Statistical significance

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error distribution

Error propagation

Resampling methods:

bootstrap

and the corresponding QKS,obs,min

2. Draw N points from a Gaussian with rms observed

3. Find the minimum of QKS,sim as a function of trial

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

Numerical

integration

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error distribution

Error propagation

Error estimation

Error distribution

Error propagation

Resampling methods: bootstrap

Numerical integration

Optimization

Resampling methods:

bootstrap

Numerical

integration

Optimization

Error propagation

The case of the parallax

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Gaussian, i.e. the true parallax and are related

by = + , N (0, )

the distance

D = 1/

1

D = D

= 2 = 2

the error distribution of D very asymmetrical

with a Monte-Carlo simulation

Markov chains

Monte-Carlo

Error estimation

Error distribution

Error propagation

Resampling methods:

bootstrap

Numerical

integration

Optimization

Error propagation

The case of the parallax illustrated

Methods

Stphane 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

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 is not satisfied

Error propagation

Real life example: Black-hole mass I

Methods

Stphane 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

>2

MBH = c < v

is a non-linearly derived

parameter from two measured parameters with

non-Gaussian uncertainty distributions

distributions and build the distribution of MBH

Error propagation

Real life example: Black-hole mass II

Methods

Stphane 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

moment and confidence intervals

Two independent estimates can be combined using a

maximum-likelihood estimation

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error distribution

Error propagation

Error estimation

Error distribution

Error propagation

Resampling methods: bootstrap

Numerical integration

Optimization

Resampling methods:

bootstrap

Numerical

integration

Optimization

Bootstrap

A simple error estimation problem

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error distribution

Error propagation

Resampling methods:

bootstrap

xi , i = 1, . . . , N and yj , i = 1, . . . , N, with N = 20 and a

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

Numerical

integration

Optimization

Bootstrap

Getting something from nothing

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error distribution

Error propagation

Resampling methods:

bootstrap

Intuition says that would be akin to pulling ones

bootstraps to lift oneself

But the data contain hidden information about their

distribution!

Numerical

integration

Optimization

Bootstrap

General principle

Monte-carlo, direct extraction of data points from the

original sample

Each pseudo-sample has the same size as the

original sample

As a consequence most pseudo-sample contain

some repeated data points and some missing data

points

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, . . . )

Methods

Stphane 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

Bootstrap

A practical example

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error distribution

Error propagation

Resampling methods:

bootstrap

1. Draw N indices (integers) i from [1; N]

2. Calculate the correlation coefficient r from the new

sets xi and yi , i = 1, . . . , N

3. Build and study the distribution of r by repeating

1.2. many times

Numerical

integration

Optimization

Bootstrap

Smoothed bootstrap

Methods

Stphane 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

few values), the bootstrap distribution will be quite bad

2

One can

add a smoothing random variable N (0, ),

= 1/ N, to all the picked values of a bootstrap test

can be pretty good

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error estimation

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Numerical integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

Optimization

Monte Carlo

Methods

Monte-Carlo algorithm

Basic principle

R

V

f dV in M dimensions requires

Stphane Paltani

(1/h)M

steps

What are

Monte-Carlo

methods?

Generation of

random variables

average of w over V ):

r

Z

<f 2> <f>2

f dV ' V <f> V

N

V

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

1. Draw N points at random within V

P

2

2. Calculate <f>= N1 N

i=1 fi (and <f >)

3. Multiply <f> by V to obtain the integral

Monte Carlo

Methods

Monte-Carlo algorithm

Volume determination

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Monte-Carlo algorithm

R

V

f dV , with f 1

volume, one has to find a volume W containing V , which

can be sampled and whose volume is known

q

2

2

, but

The error is then W <f ><f>

N

1, if w V

f (w) =

0, if not

Stratified sampling

Importance sampling

Optimization

Monte Carlo

Methods

Monte-Carlo algorithm

How to minimize the error

Stphane Paltani

r

< f 2 > < f >2

V

N

Can we reduce < f 2 > < f >2 ?

Z Z Z

z=1

e5z dz =

Markov chains

Monte-Carlo

Z Z Z

e5 /5

ds

x

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

1 5z

e ds = e5z dz

5

Generation of

random variables

Error estimation

perform a change of variable:

s=

What are

Monte-Carlo

methods?

s=e5 /5

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error estimation

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Numerical integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

Optimization

Monte Carlo

Methods

Stratified sampling

Divide and conquer...

Stphane Paltani

If F is the estimator of F =

Var(F ) =

1

V

R

V

f dV ,

Var(f )

2

N

N

estimator of F is:

!

2

2

1

1

1

F0 =

F1 + F2 = Var(F0 ) =

+ 2

2

4 N1 N2

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

(1 + 2 )2

= Var(F0 ) =

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

Stratified sampling

at work. . .

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

large

Stratified sampling

The MISER algorithm

needs to cut the volume in K d subvolumes

The MISER algorithm uses a recursive stratified

sampling. It cuts the volume in two parts one dimension

at a time:

1. For each dimension i, cut the current volume in two,

V1 and V2 , and determine 1,2

2. Find the most favorable dimension, e.g., by

minimizing 12 + 22

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

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Error estimation

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Numerical integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

Optimization

Monte Carlo

Methods

Importance sampling

Using a sampling distribution

Stphane Paltani

Z

pdV = 1

V

Z

f dV =

=

V

f

pdV =

p

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

r 2 2

f

< f /p > < f /p >2

p

N

Error estimation

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

p=R

V

|f |

|f |dV

p as close as possible to f . Importance sampling requires

some prior knowledge of f

Importance sampling

The VEGAS algorithm

with a separable distribution in d dimensions:

p g1 (x1 ) g2 (x2 ) g3 (x3 ) . . . gd (xd )

VEGAS uses an adaptive strategy to determine gi (xi )

1. Choose arbitrary gi (xi ) (e.g., constant)

2. Cut each axes in K pieces, and determine the

integral and the Kd importance sampling weights

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

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Monte-Carlo algorithm

Stratified sampling

Importance sampling

Optimization

Outline

Monte Carlo

Methods

Stphane Paltani

Generation of random variables

Markov chains Monte-Carlo

Error estimation

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Stochastic optimization

Numerical integration

Swarm intelligence

Genetic algorithms

Simulated annealing

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

Stochastic optimization

The problem of local minima

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

often shows multiple minima

Numerical

integration

Optimization

Stochastic optimization

Swarm intelligence

In Nature, the problem is often encountered. . . and

solved (or approximated)

Genetic algorithms

Simulated annealing

Outline

Monte Carlo

Methods

Stphane Paltani

Generation of random variables

Markov chains Monte-Carlo

Error estimation

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Stochastic optimization

Numerical integration

Swarm intelligence

Genetic algorithms

Simulated annealing

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

Swarm intelligence

The ant colony optimization

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

interactions between them

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

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!

Outline

Monte Carlo

Methods

Stphane Paltani

Generation of random variables

Markov chains Monte-Carlo

Error estimation

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Stochastic optimization

Numerical integration

Swarm intelligence

Genetic algorithms

Simulated annealing

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

Genetic algorithms

Principle

Stphane Paltani

genes

I

to the problem at hand, represented as a series of

genes

A fitness function can be calculated for each

chromosome

At each generation

1.

2.

3.

4.

Monte Carlo

Methods

Genes mutate,

Chromosomes reproduce sexually

Non-biological mechanisms are also possible

Chromosomes are selected according to their fitness

chromosome provides the approximate solution

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

Genetic algorithms

Example

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

a sample of N low-S/N high-redshift galaxies, but you

know the sample contain 50% interlopers (galaxies with

wrongly identified redshifts)

I

I

I

them set to 1, the rest to 0

The fitness function is the summed equivalent width

of the expected line features

Mutation are random inclusion or exclusion of

galaxies

Numerical

integration

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

Outline

Monte Carlo

Methods

Stphane Paltani

Generation of random variables

Markov chains Monte-Carlo

Error estimation

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Stochastic optimization

Numerical integration

Swarm intelligence

Genetic algorithms

Simulated annealing

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

Simulated annealing

Principle

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

thus minimizing internal energy

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

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

Simulated annealing

Implementation

1. A configuration of all possible states S, i.e. the space

of the problem

2. An internal energy E, which we want to minimize

3. Options for the next state after the current state,

similar to updates in Metropolis algorithms

4. A temperature T which is related to the probability to

accept an increase in energy:

E

S0 is accepted if U(0, 1) < exp

kT

5. A cooling schedule, which determines how T evolve

with the number of iterations

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

Simulated annealing

Implementation II

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Smin | E(Smin ) < E(S), S 6= Smin

The options are a tricky point, as a completely

random move in many dimensions might be very

inefficient in case of narrow valleys. The downhill

simplex (amoeba) algorithm can be tried

The acceptance condition makes it similar to the

Metropolis algorithm

There are also several possibilities for the cooling

schedule, for instance T (1 )T at each step

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

Simulated annealing

Example

Monte Carlo

Methods

Stphane Paltani

What are

Monte-Carlo

methods?

Generation of

random variables

Markov chains

Monte-Carlo

Error estimation

Numerical

integration

Optimization

Stochastic optimization

Swarm intelligence

Genetic algorithms

Simulated annealing

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