How do we generate the statistics of a function of a

random variable?
Why is the method called Monte Carlo?

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Monte Carlo Simulation

How do we use the uniform random number generator to

generate other distributions?
Are other distributions directly available in
matlab?
How do we accelerate the brute force approach?
Probability distributions and moments

Web links:
http://www.riskglossary.com/link/monte_carlo_method.htm
http://physics.gac.edu/~huber/envision/instruct/montecar.htm

a function h(X):
sample X: [x1,x2,,xn];
Calculate [h(x1),h(x2),,h(xn)]; use to approximate
statistics of h.
Example: X is U[0,1]. Use MCS to find mean of X2
x=rand(10); y=x.^2; %generates 10x10 random matrix
mean=sum(y)/10
x =0.4017 0.5279 0.1367 0.3501 0.3072 0.3362 0.3855
0.3646 0.5033 0.2666
mean=0.3580

What is the true mean

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SOURCE:
http://www.sz-wholesale.com/uploadFiles/041022104413s.jpg

Basic Monte
Carlo
Given a random variable X and

Obtaining distributions
Histogram: y=randn(100,1); hist(y)
25

20

15

10

0
-3

-2

-1

Cumulative density function

Cdfplot(y)
Empirical CDF

1
0.9
0.8
0.7

F(x)

0.6
0.5
0.4
0.3
0.2
0.1
0
-3

[f,x]=ecdf(y);

-2

-1

Histogram of average
x=rand(100); y=sum(x)/100; hist(y)
35
30
25
20
15
10
5
0
0.42

0.44

0.46

0.48

0.5

0.52

0.54

0.56

0.58

Histogram of average
x=rand(1000); y=sum(x)/1000; hist(y)
140
120
100
80
60
40
20
0
0.46

0.47

0.48

0.49

0.5

What is the law of large

0.51

0.52

0.53

Distribution of x
x=rand(10000,1);
x2=x.^2;
hist(x2,20)

2500

2000

1500

1000

500

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

Other distributions
Other distributions available in matlab
For example, Weibull distribution
600

f ( x) ba b x b 1e x / a

for x 0

500

400

r=wblrnd(1,1,1000);
hist(r,20)

300

200

100

10

12

14

Correlated Variables
Cov( X , Y ) E[ X x Y y ]

Cov( X , Y )
xy
x y

For normal distribution can use Matlabs mvnrnd

R = MVNRND(MU,SIGMA,N) returns a N-byD matrix R of random vectors chosen from the

multivariate normal distribution with 1-by-D
mean vector MU, and D-by-D covariance matrix
SIGMA.

Example
mu = [2 3];
sigma = [1 1.5; 1.5 3];
r = mvnrnd(mu,sigma,20);
5
plot(r(:,1),r(:,2),'+')
4.5
4

What is the correlation

coefficient?

3.5
3
2.5
2
1.5
1
0.5
0

0.5

1.5

2.5

3.5

Problems Monte Carlo

Use Monte Carlo simulation to estimate
the mean and standard deviation of x2,
when X follows a Weibull distribution with
a=b=1.
Calculate by Monte Carlo simulation and
check by integration the correlation
coefficient between x and x2, when x is
uniformly distributed in [0,1]

Latin hypercube sampling

X = lhsnorm(mu,SIGMA,n) generates a latin
hypercube sample X of size n from the
multivariate normal distribution with mean
vector mu and covariance matrix SIGMA.
X is similar to a random sample from the
multivariate normal distribution, but the
marginal distribution of each column is
adjusted so that its sample marginal
distribution is close to its theoretical
normal distribution.

Comparing MCS to LHS

mu = [2 2];
sigma = [1 0; 0 3];
r = lhsnorm(mu,sigma,20);
sum(r)/20
ans = 1.9732 2.0259

r = mvnrnd(mu,sigma,20);
sum(r)/20
ans =2.3327 2.2184

5
4

2
2

-1
-2

-1

0.5

1.5

2.5

3.5

-2
0.5

1.5

2.5

3.5

4.5

Evaluating probabilities of
failure
Failure is defined in terms of a limit state
function that must satisfy g(r)>0, where r is a
Pf m / N
vector of random variables.
Probability of failure is estimated as the ratio of
number of negative gs, m, to total MC sample
size, N
The accuracy of the estimate is poor unless N
Pf (1 Pf )
is much larger than 1/Pf
P
For small Pf

Pf

1
m

problems probability
of failure
1. Derive formula for the standard
deviation of estimate of Pf
2. If x is uniformly distributed in
[0,1], use MCS to estimate the
probability that x2>0.95 and
estimate the accuracy of your
estimate from the formula.
3. Calculate the exact value of the
answer to Problem 2 (that is
without MCS).

Source: Smithsonian Institution

Number: 2004-57325

Separable Monte Carlo

Usually limit state function is written in
terms of response vs. capacity
g=C(r)-R(r)>0
Failure typically corresponds to structures
with extremely low capacity or extremely
high response but not both
Can take advantage of that in separable
MC

Reading assignment
Ravishankar, Bharani, Smarslok B.P., Haftka R.T., Sankar B.V.
(2010)Error Estimation and Error Reduction in Separable
Monte Carlo Method AIAA Journal ,Vol 48(11), 2225
2230 .

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