MATLAB Examples

meanMC_g

Monte Carlo method to estimate the mean of a random variable

Contents

Syntax

tmu = meanMC_g(Yrand)

tmu = meanMC_g(Yrand,abstol,reltol,alpha)

tmu = meanMC_g(Yrand,'abstol',abstol,'reltol',reltol,'alpha',alpha)

[tmu, out_param] = meanMC_g(Yrand,in_param)

Description

tmu = meanMC_g(Yrand) estimates the mean, mu, of a random variable Y to within a specified generalized error tolerance, tolfun:=max(abstol,reltol*| mu |), i.e., | mu - tmu | <= tolfun with probability at least 1-alpha, where abstol is the absolute error tolerance, and reltol is the relative error tolerance. Usually the reltol determines the accuracy of the estimation, however, if the | mu | is rather small, the abstol determines the accuracy of the estimation. The default values are abstol=1e-2, reltol=1e-1, and alpha=1%. Input Yrand is a function handle that accepts a positive integer input n and returns an n x 1 vector of IID instances of the random variable Y.

tmu = meanMC_g(Yrand,abstol,reltol,alpha) estimates the mean of a random variable Y to within a specified generalized error tolerance tolfun with guaranteed confidence level 1-alpha using all ordered parsing inputs abstol, reltol, alpha.

tmu = meanMC_g(Yrand,'abstol',abstol,'reltol',reltol,'alpha',alpha) estimates the mean of a random variable Y to within a specified generalized error tolerance tolfun with guaranteed confidence level 1-alpha. All the field-value pairs are optional and can be supplied in different order, if a field is not supplied, the default value is used.

[tmu, out_param] = meanMC_g(Yrand,in_param) estimates the mean of a random variable Y to within a specified generalized error tolerance tolfun with the given parameters in_param and produce the estimated mean tmu and output parameters out_param. If a field is not specified, the default value is used.

Input Arguments

  • Yrand --- the function for generating n IID instances of a random variable Y whose mean we want to estimate. Y is often defined as a function of some random variable X with a simple distribution. The input of Yrand should be the number of random variables n, the output of Yrand should be n function values. For example, if Y = X.^2 where X is a standard uniform random variable, then one may define Yrand = @(n) rand(n,1).^2.
  • in_param.abstol --- the absolute error tolerance, which should be positive, default value is 1e-2.
  • in_param.reltol --- the relative error tolerance, which should be between 0 and 1, default value is 1e-1.
  • in_param.alpha --- the uncertainty, which should be a small positive percentage. default value is 1%.

Optional Input Arguments

  • in_param.fudge --- standard deviation inflation factor, which should be larger than 1, default value is 1.2.
  • in_param.nSig --- initial sample size for estimating the sample variance, which should be a moderate large integer at least 30, the default value is 1e4.
  • in_param.n1 --- initial sample size for estimating the sample mean, which should be a moderate large positive integer at least 30, the default value is 1e4.
  • in_param.tbudget --- the time budget in seconds to do the two-stage estimation, which should be positive, the default value is 100 seconds.
  • in_param.nbudget --- the sample budget to do the two-stage estimation, which should be a large positive integer, the default value is 1e9.

Output Arguments

  • tmu --- the estimated mean of Y.
  • out_param.tau --- the iteration step.
  • out_param.n --- the sample size used in each iteration.
  • out_param.nremain --- the remaining sample budget to estimate mu. It was calculated by the sample left and time left.
  • out_param.ntot --- total sample used.
  • out_param.hmu --- estimated mean in each iteration.
  • out_param.tol --- the reliable upper bound on error for each iteration.
  • out_param.var --- the sample variance.

  • out_param.exit --- the state of program when exiting:
    • 0 Success
    • 1 Not enough samples to estimate the mean
  • out_param.kurtmax --- the upper bound on modified kurtosis.
  • out_param.time --- the time elapsed in seconds.

  • out_param.flag --- parameter checking status:
    • 1 checked by meanMC_g

Guarantee

This algorithm attempts to calculate the mean, mu, of a random variable to a prescribed error tolerance, tolfun:= max(abstol,reltol*| mu |), with guaranteed confidence level 1-alpha. If the algorithm terminated without showing any warning messages and provide an answer tmu, then the follow inequality would be satisfied:

Pr(| mu - tmu | <= tolfun) >= 1-alpha

The cost of the algorithm, N_tot, is also bounded above by N_up, which is defined in terms of abstol, reltol, nSig, n1, fudge, kurtmax, beta. And the following inequality holds:

Pr (N_tot <= N_up) >= 1-beta

Please refer to our paper for detailed arguments and proofs.

Examples

Example 1

% Calculate the mean of x^2 when x is uniformly distributed in
% [0 1], with the absolute error tolerance = 1e-3 and uncertainty 5%.

  in_param.reltol=0; in_param.abstol = 1e-3;in_param.reltol = 0;
  in_param.alpha = 0.05; Yrand=@(n) rand(n,1).^2;
  tmu = meanMC_g(Yrand,in_param)
tmu =

    0.3334

Example 2

% Calculate the mean of exp(x) when x is uniformly distributed in
% [0 1], with the absolute error tolerance 1e-3.

  tmu = meanMC_g(@(n)exp(rand(n,1)),1e-3,0)
tmu =

    1.7182

Example 3

% Calculate the mean of cos(x) when x is uniformly distributed in
% [0 1], with the relative error tolerance 1e-2 and uncertainty 0.05.

  tmu = meanMC_g(@(n)cos(rand(n,1)),'reltol',1e-2,'abstol',0,...
      'alpha',0.05)
tmu =

    0.8417

See Also

funappx_g

integral_g

cubMC_g

meanMCBer_g

cubSobol_g

cubLattice_g

References

[1] F. J. Hickernell, L. Jiang, Y. Liu, and A. B. Owen, Guaranteed conservative fixed width confidence intervals via Monte Carlo sampling, Monte Carlo and Quasi-Monte Carlo Methods 2012 (J. Dick, F. Y. Kuo, G. W. Peters, and I. H. Sloan, eds.), Springer-Verlag, Berlin, 2014. arXiv:1208.4318 [math.ST]

[2] Sou-Cheng T. Choi, Yuhan Ding, Fred J. Hickernell, Lan Jiang, Lluis Antoni Jimenez Rugama, Xin Tong, Yizhi Zhang and Xuan Zhou, GAIL: Guaranteed Automatic Integration Library (Version 2.1) [MATLAB Software], 2015. Available from http://code.google.com/p/gail/

[3] Sou-Cheng T. Choi, MINRES-QLP Pack and Reliable Reproducible Research via Supportable Scientific Software, Journal of Open Research Software, Volume 2, Number 1, e22, pp. 1-7, 2014.

[4] Sou-Cheng T. Choi and Fred J. Hickernell, IIT MATH-573 Reliable Mathematical Software [Course Slides], Illinois Institute of Technology, Chicago, IL, 2013. Available from http://code.google.com/p/gail/

[5] Daniel S. Katz, Sou-Cheng T. Choi, Hilmar Lapp, Ketan Maheshwari, Frank Loffler, Matthew Turk, Marcus D. Hanwell, Nancy Wilkins-Diehr, James Hetherington, James Howison, Shel Swenson, Gabrielle D. Allen, Anne C. Elster, Bruce Berriman, Colin Venters, Summary of the First Workshop On Sustainable Software for Science: Practice And Experiences (WSSSPE1), Journal of Open Research Software, Volume 2, Number 1, e6, pp. 1-21, 2014.

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