Monte Carlo Integration

Robert Lin
April 20, 2004
Outline
 Integration Applications
 Random variables, probability, expected value, variance
 Integration Approximation
 Monte Carlo Integration
 Variance Reduction (sampling methods)
Integration Applications
 Antialiasing
Integration Applications
 Soft Shadows
Integration Applications
 Indirect Lighting
Random Variables, Probability Density Function
 Continuous random variable x:
scalar or vector quantity that randomly takes on a value (-∞,+∞)

 Probability Density Function p associated with x (denoted x ~ p)

describes the distribution of x:

 Properties:
Random Variables, Probability Density Function
 Example:
Let ε be a random variable taking on values [0, 1) uniformly
 Probability Density Function ε ~ q

 Probability that ε takes on a certain value [a, b] in [0, 1) is

Expected Value
 The average value of a function f(x) with probability distribution
function (pdf) p(x) is called the expected value:

 The expected value of a 1D random variable can be calculated by

letting f(x) = x.

 Expected Value Properties:

1.

2.
Multidimensionality
 Random variables and expected values can be extended to multiple
dimensions easily

 Let S represent a multidimensional space with measure μ

 Let x be a random variable with pdf p
 Probability that x takes on a value in region in Si, a subset of S, is
Multidimensionality
 Example:
 Let α be a 2D random variable uniformly distributed on a disk of radius R
 p(α) = 1 / (πR2)
Multidimensionality
 Example
 Given a unit square S = [0, 1] x [0, 1]
 Given pdf p(x, y) = 4xy
 The expected value of the x coordinate is found by setting f(x, y) = x:
Variance
 The variance of a random variable is defined as the expected
value of the square of the difference between x and E(x).

 Some algebra lets us convert this to the form:

Integration Problems

 Integrals for rendering can be difficult to evaluate

 Multi-dimensional integrals
 Non-continuous functions
 Highlights
 Occluders
Integration Approximation
 How to evaluate integral of f(x)?
Integration Approximation
 Can approximate using another function g(x)
Integration Approximation
 Can approximate by taking the average value
Integration Approximation
 Estimate the average by taking N samples
Monte Carlo Integration

 Im = Monte Carlo estimate

 N = number of samples
 x1, x2, …, xN are uniformly distributed random numbers between
a and b
Monte Carlo Integration
Monte Carlo Integration
 We have the definition of expected value and how to estimate it.

 Since the expected value can be expressed as an integral, the

integral is also approximated by the sum.

 To simplify the integral, we can substitute g(x) = f(x)p(x).

Variance
 The variance describes how much the sampled values vary
from each other.

 Variance proportional to 1/N

Variance
 Standard Deviation is just the square root of the variance
 Standard Deviation proportional to 1 / sqrt(N)

 Need 4X samples to halve the error

Variance
 Problem:
 Variance (noise) decreases slowly
 Using more samples only removes a small amount of noise
Variance Reduction
 There are several ways to reduce the variance
 Importance Sampling
 Stratified Sampling
 Quasi-random Sampling
 Metropolis Random Mutations
Importance Sampling
 Idea: use more samples in important regions of the function
 If function is high in small areas, use more samples there
Importance Sampling

 Want g/p to have low variance

 Choose a good function p similar to g:
Stratified Sampling
 Partition S into smaller domains Si
 Evaluate integral as sum of integrals over Si
 Example: jittering for pixel sampling
 Often works much better than importance sampling in practice
Examples
Examples
Conclusion
 Monte Carlo Integration Pros
 Good to estimate integrals with many dimensions
 Good to estimate integrals with complex functions
 General integration method with many applications

 Monte Carlo Integration Cons

 Variance reduces slowly (error appears as noise)
 Reduce variance with importance sampling, stratified sampling, etc.
 Can use other methods (filtering) to remove noise
References
 Peter Shirley, R. Keith Morley. Realistic Ray Tracing, Natick, MA: A K
Peters, Ltd., 2003, pages 47-51, 145-154.

 Henrik Wann Jensen. Realistic Image Synthesis Using Photon Mapping,

Natick, MA: A K Peters, Ltd., 2001, pages 153-155.

 Pat Hanrahan. Monte Carlo Integration 1 (Lecture Notes):

http://graphics.stanford.edu/courses/cs348b-02/lectures/lecture6

 Thomas Funkhouser, Monte Carlo Integration For Image Synthesis:

http://www.cs.princeton.edu/courses/archive/fall02/cs526/lectures/montecarl
o.pdf

 Eric Veach. Robust Monte Carlo Methods for Light Transport Simulation.
Ph.D Thesis, Stanford University, Dec 1997.