Monte Carlo for uncertainty estimation

In summary, the conversation discusses an equation that includes experimental parameters and measurements, with a focus on extracting a parameter called W. The speaker has obtained values for A and its associated uncertainty using Monte Carlo simulations, and is now trying to determine the uncertainty for W. Two methods are suggested, one involving a least square fit and the other involving sampling A multiple times, but there is uncertainty about which method is the most accurate. The conversation also brings up the importance of considering uncertainty in A measurements and potential sources of error in the experiment.
  • #1
kelly0303
580
33
Hello! This is tangentially also a follow up to this post. I have the following equation:

$$A = \frac{0.2\frac{W}{\Delta}}{\left(\frac{W}{\Delta}\right)^2+0.1^2}$$
where ##\Delta## is an experimental parameter, ##A## is obtained by some measurements and it depends on ##\Delta## and the statistics of the experiment, while ##W## is the parameter I want to extract from the experiment, which in the simulations described here was set to ##4\pi##. I have some values for ##\Delta##, which are: ##2\pi\times [-500,-250,-200,-100,-50,50,100,200,250,500]##. For each ##\Delta## I ran some Monte Carlo (MC) simulations to extract A and the associated uncertainty and I obtained ##A = [-0.07471803, -0.15907364, -0.20514187, -0.39216751, -0.696679, 0.70398886, 0.38746261, 0.20232256, 0.15935686, 0.0736096]## and ##dA =[0.10973486, 0.1076796, 0.10531444, 0.10150821, 0.07678416, 0.07809082, 0.10294303, 0.10685488, 0.10791492, 0.10993011]##. If I increase the statistics by a factor of 10, I get ##A =[-0.07914394, -0.1585819, -0.19860262, -0.38868242, -0.70347071, 0.70340396, 0.38731616, 0.19894059, 0.15979929, 0.07932907]## and ##dA =[0.03594135, 0.03645251, 0.03466366, 0.03255766, 0.02302652, 0.022873, 0.03185962, 0.03428031, 0.03592418, 0.03339634]## (I just dropped all the decimal places printed by Python, sorry about that), so almost the same values for A, but a factor of ##\sqrt{10}## lower uncertainty, as expected. I am not sure how to proceed from here in extracting W and its associated uncertainty. One way is to use the above equation and write W in terms of A and ##\Delta## (only one solution is physical), for each ##\Delta## sample A from the associated mean and standard deviation given above, then just perform a least square fit of W vs A. If I do that I am getting an error on W of ~##0.4\pi-0.5\pi## (I am usually dividing everything by ##2\pi## in my calculations and just multiplying it back here). For the higher statistic case, the uncertainty is ~##0.04\pi-0.05\pi## (for the second case, the central W value is actually not consistent with ##4\pi## given the uncertainty, at 1 ##\sigma## level). Another way to estimate the uncertainty on W is by sampling A for each delta a large number of time (say 1000), compute W for each one, and use the mean and standard deviation of the obtained W values. In this case I am getting an uncertainty of ~##3\pi## and ~##1\pi## for the low and high statistics case. Given the large values of uncertainty now I am consistent in both cases with the real W value, but the uncertainties seem too large. Can someone help me figure out which one is the right way and why the other one is wrong?

Also, in practice, in my experiment I will just have 10 points, corresponding to the 10 values of ##\Delta## and the associated W values (and it will take about a week to measure them). In that case I won't be able to sample A values a large number of time, so I would need to just use these 10 points to extract W. How would I proceed then (obviously in that case I don't know W, either)? Thank you and sorry for the long post!
 
Physics news on Phys.org
  • #2
It sounds like this is for an actual physical process. You should consider uncertainty in your measurement of A. Depending on which section of the curve is the "physically impossible" then small changes in A measurement could have a big effect on W.

Even if you are in the region where small change in A does not move W very much, there is still uncertainty. So you need to consider how much could A be off when you measure it? How is it measured - by looking at a ruler or some gage? Is the same person performing the measurement each time? Just some thoughts.
 
  • #3
scottdave said:
It sounds like this is for an actual physical process. You should consider uncertainty in your measurement of A. Depending on which section of the curve is the "physically impossible" then small changes in A measurement could have a big effect on W.

Even if you are in the region where small change in A does not move W very much, there is still uncertainty. So you need to consider how much could A be off when you measure it? How is it measured - by looking at a ruler or some gage? Is the same person performing the measurement each time? Just some thoughts.
The values I provided are generated numerically not from the actual experiment. So I assume that all sources of uncertainty are accounted for (as they are used in the MC process).
 

FAQ: Monte Carlo for uncertainty estimation

What is Monte Carlo simulation?

Monte Carlo simulation is a computational technique that uses random sampling to obtain numerical results. It is often used to model the probability of different outcomes in processes that are inherently uncertain due to the presence of random variables.

How does Monte Carlo simulation help in uncertainty estimation?

Monte Carlo simulation helps in uncertainty estimation by allowing the modeling of complex systems with multiple uncertain variables. By running numerous simulations with different random inputs, it generates a distribution of possible outcomes, providing insights into the range and likelihood of different scenarios.

What are the key steps in performing a Monte Carlo simulation?

The key steps in performing a Monte Carlo simulation include: defining the problem and the uncertain variables, generating random inputs for these variables, running the model with these inputs to obtain outputs, and analyzing the results to estimate the uncertainty and probability distributions of the outcomes.

What are some common applications of Monte Carlo simulation?

Common applications of Monte Carlo simulation include financial risk analysis, project management, engineering design, environmental modeling, and any other field where decision-making under uncertainty is crucial. It is widely used in industries such as finance, insurance, oil and gas, manufacturing, and healthcare.

What are the limitations of Monte Carlo simulation?

The limitations of Monte Carlo simulation include its computational intensity, especially for complex models with many variables or requiring a high number of simulations to achieve accurate results. Additionally, the quality of the results depends on the accuracy of the input data and the assumptions made in the model. It also requires expertise to properly set up and interpret the simulations.

Similar threads

Replies
12
Views
2K
Replies
3
Views
1K
Replies
4
Views
1K
Replies
1
Views
1K
Replies
16
Views
2K
Replies
18
Views
3K
Back
Top