The Monte-Carlo Approach in Amazons

合集下载

Monte Carlo方法简介

Monte Carlo方法简介

Monte Carlo方法
Modelling water adsorption on Au(210) surfaces: II. Monte Carlo simulations
Monte Carlo方法
高分子构象的Monte Carlo模拟
Monte Carlo方法
Adsorption Mechanism and Dynamic Behavior of Water and Ethanol Molecules Inside Au Nanotubes
统计系统的热力学性质及其他物理量
No
统计性 质不变?
打印结果,结束
Monte Carlo方法
微正则系综蒙特卡罗方法 巨正则系综蒙特卡罗方法 正则系综蒙特卡罗方法 等温等压蒙特卡罗方法
MC 就是一种通过重要性抽样的方法计算统计平均值的 一种随机方法。 它基于统计力学,通过 微观可观测量的系 综平均来求算其宏观性质,
1、数学:本身已形成计算数学的一个分支; 2、粒子物理:输运问题、屏蔽问题、核武器试验分析等; 3、统计物理、化学,材料、工程各领域; 4、其它:疾病传播与免疫、系统工程与管理优化等等。
Monte Carlo方法
1% 49 %
Nicholas Metropolis (1915-1999)
49 % 1%
•分子模拟的两种主要方法:
⑴ ⑵ 分子动力学法 (MD,Molecular Dynamics) 基于粒子运动的经典轨迹 Monte Carlo法 (MC) 基于概率和统计力学
Monte Carlo方法
1.2 Monte Carlo方法的发展历史
Monte Carlo 原为地中海沿岸Monaco(摩纳哥)的一个城市 的地名, 是世界闻名的大赌场,Monte Carlo方法的随机抽样特 征在它的命名上得到了反映。

Monte Carlo方法

Monte Carlo方法
Monte Carlo
方法
Monte Carlo 方法
• Monte Carlo 方法及其历史 • Monte Carlo 方法的基本思想 • Monte Carlo 方法的应用
Monte Carlo 方法及其历史
Monte Carlo 是地中海沿岸Monaco 的一个城 市,是世界闻名的赌城,用这个名字命名一 个计算方法,表明该算法与随机、概率有着 密切的联系。事实上,Monte Carlo 方法亦 称为随机模拟(random simulation)方法、 随机抽样(random sampling)技术或统计试 验(statisticaltesting)方法。
蒲丰投针试验示意图
针与平行线相交的充分必要条件是y ≤ lsin φ ,因此,针 与平行线相交事件的集为
则针与平行线相交的概率为
由于l 和a 均为已知常数,只要通过大量抽样试验求得 该概率p ,由上式即可算出圆周率。设投针总次数为N ,其中针与平行线相交次数为v ,由贝努里( Bernoulli)定理可知,当N充分大时,该事件出现的 频率接近于其概率,即
随机抽样方法可以追溯到18 世纪后半 叶的蒲丰(Buffon)随机投针试验,蒲丰 发现了随机投针的概率与π 之间的关系。 但是一般是将Metropolis 和Ulam 在194 9 年发表的论文作为MC 方法诞生的标志 。20 世纪40 年代是电子计算机问世 的年代,也是研制原子弹的年代。原子弹 的研制过程涉及大量复杂的理论和技术问 题,如中子运输和辐射运输等物理过程。 科学家们在解决中子运输等问题时,将随 机抽样方法与计算机技术相结合,从而产 生了MonteCarlo 方法。
式中,J 为粒子两两有效相互作用能, Si为粒子i 的状态值,B 为某个强度热 力学场对粒子i 作用所产生的能量。

基于MonteCarlo方法的确定海上搜救区域模型

基于MonteCarlo方法的确定海上搜救区域模型

另 一 方 面 ,影 响搜 救 区 域 的 另 一 个 指 标 就 是 初 始 位 置 误 差 ,不 妨 用参 数 来 定 义 初 始 粒 子 的 分 布 ,设 f、 ‘ 别 表 示 事 o 分 故 发 生 可 能 的最 早 、 晚 时 间 , 、 与 X、 表 示 对 应 时 间 一 的 位 置 和 误 差 范 围 ,则 初 始粒 子 的 分布 满 足 圆 正 态 分 布 ,标 准 差 为 =r 2,如 图 2所 示 : 始位 置 误 差 范 围 d 在 与 / 初 - 间呈 线 性 分 布 。 之 根 据 上 述 基 于 蒙 特 卡 罗 方 法 的 漂移 模 型 的 计 算 ,我 们 最 终 可 以给 出漂 浮 物 平 均 的 漂移 轨迹 和 搜 救 区 域 ,并 在 计 算 机 海 图上 得 以直 观 的显 示 。
y=g(


) ,讲 此 过 程 重 复 计 算 Ⅳ 次 ,就得 到得 Y的 Ⅳ
个 样 本 值 1 , , 。 ,
3 给 出 解 的近 似 估 计 值 .
用 ()t) ( ) 均 = ∑ () 为 解 ,y, y 的 值 专 作 真 a 2…O N
』T i =1
(. 2) 1
其 中 ,漂浮 物 漂 移 速 度 v t 依 赖于 风 致 飘 流速 度 F t 和 (、 (、 海 流表 面 流 速 “ f 。 f 1 我们 可 以 用 Ru g — u t 间 积分 法 I n eK ta时 5 J 对 漂移 模 型 ( . )进 行 数 值 求 解 。 21 假 设 漂 浮 物 的 位 置 变 更 符 合 马 尔 可 夫 随 机 过 程
设 Y (, , ) 个 相 互 独 立 的随 机 变 量 的 函数 , =g 是 其 概 率 分 布 密 度 为 ( ) 1 一J ,并 设 定 Y 的 数 学 期 望 考( ,) 2 v

Fink montecarlo 蒙特卡洛方法

Fink montecarlo 蒙特卡洛方法

Forward LIBOR T L T = L t × Forward LIBOR t
2 - σ (T - t )+ σε 2 e ×
1
(T - t )
(It assumes that values of implied forward LIBOR have been calculated.) The pricing spreadsheet can now be assembled. A simple macro or procedure should be written so that the spreadsheet can automatically recalculate itself for any desired number of runs. In a simulation of LIBOR rates, the forward LIBOR curve and resulting discount factors must first be calculated. For example, if the term is 2 years and the reset frequency is 6-monthly, 4 discount factors and 4 values of 6 month LIBOR will be relevant to the pricing of transactions (For spot starting transactions there are only 3 relevant discount factors and values of LIBOR). While it is recognized that this specification of the LIBOR process, using static discount factors, is not arbitrage-free, the results have proved accurate for a wide range of product types. If the particular spreadsheet (e.g. Lotus 1-2-3 or Excel) does not provide a function for calculating random normal deviates but does provide a function which generates numbers from a uniform distribution over [0,1], the following approximation for a normal deviate ε can be used

Monte Carlo 方法资料

Monte Carlo 方法资料

Monte Carlo方法的基本思想
Monte Carlo 方法的基本思想是: 为了求解某个问题 , 建立一个恰 当的概率模型或随机过程 , 使得其参量(如事件的概率、随机变 量的数学期望等)等于所求问题的解 , 然后对模型或过程进行反 复多次的随机抽样试验 , 并对结果进行统计分析 , 最后计算所求 参量 , 得到问题的近似解。
③ 收敛速度与问题的维数无关 , 因此 , 较适用于求解多维问题。
④ 问题的求解过程取决于所构造的概率模型 , 而受问题条件限制的 影响较小 , 因此 , 对各种问题的适应性很强。
随机数的产生
1 随机数与伪随机数
Monte Carlo 方法的核心是随机抽样。 在该过程中往往需要各种各样分 布的随机变量其中最简单、最基本的是在[0 ,1]区间上均匀分布的 随机变量。 在该随机变量总体中抽取的子样 ξ 1 ,ξ 2 , … ,ξN 称为随 机数序列 , 其中每个个体称为随机数。 用数学的方法产生随机数是目前广泛使用的方法。 该方法的基本思想 是利用一种递推公式 :
"quantum" Monte Carlo: random walks are used to compute quantum-mechanical energies and wavefunctions, often to solve electronic structure problems, using Schrödinger’s equation as a formal starting point;
即当 N 充分大时 , 有 成立的概率等于1 , 亦即可以用 ξN 作为所求量 x 的估计值。
根据中心极限定理 , 如果随机变量 ξ的标准差 σ 不为零 , 那么 Monte Carlo 方法的误差ε为

第六章 M onte-Carlo 方法

第六章 M onte-Carlo 方法
具有分布密度函数f(x)的伪随机数变量抽样的基本步骤: • 在[0,1]区间抽取均匀分布的伪随机数列; • 在这伪随机数总体中抽取一个简单子样,使这个简单子 样满足分布密度函数f(x)。
10
1、离散型分布随机变量的直接抽样 对一个可以取两个值的随机变量x,如果它以几率p1取值x1, 而以几率p2取值x2。则:p2=(1-p1)。如果取(0,1)间一个随机数, 若满足: x < p 1 , 则取: x = x 1
第六章 Monte-Carlo 方法 第一节 Monte-carlo 方法概述 Monte-Carlo(蒙特卡罗)是摩纳哥闻名的赌城的名字,其本意具 有“随机”、“机遇”之意,从而Monte-Carlo方法又称为随机 抽样技巧或统计模拟方法(statistical simulation method )。 是利用随机数进行数值模拟的方法。 是由Metropolis在二次世界大战期间提出的,Nouman命名。在 Manhattan计划中,研究与原子弹有关的中子输运过程。 Monte Carlo方法是现代计算技术的最为杰出的成果之一。
由于试验次数不能太少,进行大量模拟就有很大的运算量, 从而只有在计算机出现和发展后,该方法才得到有效应用,所 以说,Monte-Carlo方法是和计算机紧密联系在一起的。
5
三. Monte-Carlo 方法的适用范围非常广泛
由于空间维数的多少对于Monte-Carlo方法的影响不大,且受问 题 的条件限制小,另外用该方法解决问题所编写的程序结构简 单,所以该方法已广泛应用在许多领域。 它可以解决一些典型的数学问题, 如多重积分的计算、线性代 数方程组、线性积分方程求解、齐次线性积分方程本征值的计 算、微分方程边值的计算等; 另外生物、 物理、材料、化学、经济、通讯等 科学方面许多 复杂问题用该方法来解决相对来说比较简单。

江苏省南京市2025届高三英语下学期第三次模拟试题含解析

江苏省南京市2025届高三英语下学期第三次模拟试题含解析

江苏省南京市2025届高三英语下学期第三次模拟试题(含解析)第一部分听力(共两节,满分30分)做题时,先将答案标在试卷上。

录音内容结束后。

你将有两分钟的时间将试卷上的答案转涂到答题卡上。

第一节(共5小题;每小题1.5分,满分7.5分)听下面5段对话。

每段对话后有一个小题。

从题中所给的A、B、C三个选项中选出最佳选项,并标在试卷的相应位置。

听完每段对话后,你都有10秒钟的时间来回答有关小题和阅读下一小题,每段对话仅读一遍。

1. 【此处可播放相关音频,请去附件查看】When does the conversation probably take place?A. In the morning.B. In the afternoon.C. In the evening.【答案】B【解析】【原文】M: I’m so hungry, Mom. Is dinner going to be ready soon?W: We just had lunch an hour ago! And you had two full plates of breakfast when you woke up.2. 【此处可播放相关音频,请去附件查看】What is the full price of the man’s jacket?A. $15.B. $30.C. $50.【答案】B【解析】【原文】W: So, what did you buy?M: A jacket. It was a real bargain. I got it for half price, so I saved 15 dollars.W: That’s very cheap. I bought a similar o ne for 50 dollars last year.3. 【此处可播放相关音频,请去附件查看】Who is the woman?A. A passenger.B. A health worker.C. A customs officer.【答案】C【解析】【原文】M: Is the customs examination here?W: That’s right. Your passport and health certificate, please.M: Here you are.4. 【此处可播放相关音频,请去附件查看】What does the woman know about?A. Major rivers.B. Famous mountains.C. Capital cities.【答案】C【解析】【原文】M: Do you know the major rivers and famous mountains in Europe?W: Hm. Ask me about capital cities instead.5. 【此处可播放相关音频,请去附件查看】Why does the man meet the woman?A. To apply for a job.B. To sell her something.C. To reserve a seat.【答案】A【解析】【原文】W: Take a seat, Mr. Black. Could you tell me which position interests you most?M: The sales manager position.W: OK. But do you have any relevant experience?其次节(共15小题;每小题1.5分,满分22.5分)听下面5段对话或独白。

5_ Monte-Carlo方法及其应用

5_ Monte-Carlo方法及其应用
Monte-Carlo方法及其应用
Monte-Carlo方法Hale Waihona Puke 绍 一、Monte-Carlo方法
参考文献: RUBINSTEIN,R. (1981): Simulation and the Monte Carlo Method. New York: Wiley. BINDER, K. (1978) Monte CarloM ethodsi n Statistical Physics. Springer-Verlag, Berlin.
Monte-Carlo方法应用 二、LLV模型
1、地域:L × L
2、格子( i , j )的状态
3、局部规则举例
Monte-Carlo方法应用 三、模型结果
1、快照
Monte-Carlo方法应用 三、模型结果
2、系统的演化性质
共存? 被捕食者消亡?
参考文献:K. Tainaka, J. Phys. Soc. Jpn. 57, 2588 (1988); G. Szabo, M.A. Santos, and J. F. F. Mendes, Phys. Rev. E 60, 3776 (1999).
Monte-Carlo方法应用 三、其他模型
其他生态系统模拟模型: B-S模型等
参考文献:P. Bak, K. Sneppen, Phys.Rev.Letters, 71 (1993) 4083
相关阅读
四、相关阅读 DP Landau, K Binder,A guide to Monte Carlo simulations in statistical physics. Cambridge University Press,2000. Gyogy Szabo, Gabor Fath, Evolutionary games on graphs, Physics Reports 446 (2007) 97216. Claudio Castellanc, Santo Fortunatc, Vittorio Loreto, Statistical physics of social dynamics, Reviews of Modern Physics 81 (2) (2009) 591646.

MonteCarlo方法及其简单应用(图文)

MonteCarlo方法及其简单应用(图文)

MonteCarlo方法及其简单应用(图文)论文导读:本文介绍了Monte Carlo方法的思想,主要从在定积分计算方面介绍了随机投点法和平均值法,并将其推广到二重积分、三重积分和多重积分情形,最后以棋手分奖金问题介绍了Monte Carlo方法在古典概率问题中的应用.分析了误差,介绍了减少误差的方法. 给出这些方法的实例及其Mathematica实现程序.关键词:MonteCarlo方法,积分计算,古典概率,模拟1 引言Monte Carlo方法,源于第二次世界大战美国关于研制原子弹的“曼哈顿计划”.该计划的主持人之一、数学家冯·诺伊曼用驰名世界的赌城——摩纳哥的Monte Carlo——来命名这种方法,为它蒙上了一层神秘色彩.Monte Carlo方法的基本思想很早以前就被人们所发现和利用.19世纪人们用投针试验的方法来确定圆周率.20世纪40年代电子计算机的出现,特别是近年来高速电子计算机的出现,使得用数学方法在计算机上大量、快速地模拟这样的试验成为可能.Monte Carlo方法研究的问题大致可分为两种类型:一种是问题本身就是随机的,另一种本身属于确定性问题,但可以建立它的解与特定随机变量或随机过程的数字特征或分布函数之间的联系,因而也可用随机模拟方法解决.文[1]-[7] 介绍了Monte Carlo方法的思想,但没有给出具体的实例及实现过程。

发表论文。

本文介绍了MonteCarlo方法的思想,从计算定积分和古典概率两方面的应用进行研究,给出了实例及其Mathematica实现程序.2 Monte Carlo方法2.1 Monte Carlo方法思想概述Monte Carlo方法,有时也称随机模拟(RandomSimulation)方法或统计试验(Statistical Testing)方法.它的基本思想是:首先建立一个概率模型或随机过程,使它的参数等于问题的解;然后通过对模型或过程的观察、抽样来计算所求参数的统计特征;最后给出所求解的近似值,而解的精度可用估计值的标准误差来表示.假设所求的量是随机变量的数学期望,那么近似确定的方法是对进行重复抽样,产生相互独立的值的序列并计算其算术平均值:根据大数定理,当充分大时,以概率1成立,即可用作为的估计值.Monte Carlo方法以概率统计理论为基础,以随机抽样(随机变量的抽样)为手段,在很多方面有重要的应用.它的优点表现在三个方面:方法和程序的结构简单,易分析、易理解;收敛的概率性和收敛速度与问题的维数无关,很好的避免了维数问题;受问题条件限制的影响较小,很好的提高可行性.使用Monte Carlo方法的步骤如下:(l)构造或描述概率过程(2)实现从已知概率分布中抽样(3)建立各种估计量2.2 Monte Carlo方法的可行性从Monte Carlo方法的基本思想可以得到它通常的做法,利用数学或物理方法产生[0,1]中均匀分布的随机数,在变换得到任意分布的随机数.随机数个数很大时,可以由大数定理,求出事件的概率值.这种做法的可行性主要依据下面的事实:(1)如果随机变量的分布函数是,由于非降.对于任意的,(),可以定义:作为的反函数.我们考虑随机变量的分布,这里假定是连续函数,则对于有:(1)即服从上的均匀分布.(2)反之,如果服从上的均匀分布,则对于任意的分布函数,令,则:(2)因此是服从分布函数的随机变量.所以我们只要能够产生中均匀分布的随机变量的子样,那么通过(2)式我们就可以得到任意分布函数的随机变量的子样.再结合大数定理、就可以运用Monte Carlo方法进行随机模拟,解决一些实际的问题.3 Monte Carlo方法在定积分中的应用3.1随机投点法对于定积分.为使计算机模拟简单起见,设,有限,,令,并设是在上均匀分布的二维随机变量,其联合密度函数为.则是中曲线下方的面积(如图2).图2假设我们向中进行随机投点.若点落在下方(即)称为中的,否则称不中.则点中的概率为,若我们进行次投点,其中次中的.则可以得到的一个估计(3)该方法的具体计算步骤为:①独立地产生2个随机数,,i=1,&hellip;,n;②计算,,和;③统计的个数;④用(3)估计.例1 1777年,法国学者Buffon提出用试验方法求圆周率的值.原理如下:假设平面上有无数条距离为1的等距平行线,现向该平面随机地投掷一根长度为的针.则我们可以计算该针与任一平行线相交的概率.此处随机投针可以这样理解:针中心与最近的平行线间的距离x均匀地分布在区间上,针与平行线间的夹角(不管相交与否)均匀地分布在区间上(如图1).于是,针与线相交的充要条件是,从而针线相交概率为:图1而由大数定律可以估计出针线相交的概率,其中为掷针次数,为针线相交次数,从而圆周率.其mathematica实现语句见附录1.3.2 样本平均值法对积分,设是上的一个密度函数,改写(4)由矩法,若有个来自的观测值,则可给出的一个矩估计,这便是样本平均值法的基本原理.若,有限,可取.设是来自的随机数,则的一个估计为(5)该方法的具体计算步骤为:①独立地产生个随机数;②计算和,;③用(5)估计.后面将给出一个例子说明此方法的应用.4 Monte Carlo方法在计算多重积分中的应用方法一:(重积分)(7)其中为S维单位立方体,,在上有:.很明显.此时积分(5)可以看作为求维空间长方体V:的体积.即:(8)对于这种较为一般形式的多重积分计算问题,采用的还是随机投点.具体步骤如下:首先产生个随机数(i=1,2,&hellip;,)及,构造维随机向量,然后检验是否落后在V中,同理可以推论.检验是否成立,如果在构成的个随机向量中,有个随机向量落于V中,那么取作为积分的近似值,即,如果积分区域及被积函数不满足上述条件,那么可以通过变换便可达到所希望的条件.方法二:其中积分区域包含在维多面体中,此多面体决定于个不等式.设函数在内连续且满足条件:,是在维多面体中均匀分布的随机质点的个数,是在个随机点之中落入以维区域V为底以为顶之曲顶柱体内的随机点的个数.这里表示由不等式和决定的维多面体.则重积分的Monte Carlo近似计算公式为:=(9)例 2 在三维空间中,由三个圆柱面:,,围成一个立体,利用Monte Carlo方法求它的体积.分析:据题意,所求体积,其中{,,且,,}.记,,},考虑在空间内随机的产生个点,落在空间内有个,则.在Mathematica中模拟程序见附录2.5 在古典概率问题中的应用下面的例子说明了Monte Carlo方法在古典概率中的应用.例3 甲乙两位棋手棋艺相当,现他们在一项奖金为1000元的比赛中相遇,比赛为五局三胜制,已经进行了三局的比赛,结果为甲三胜一负,现因故要停止比赛,问应该如何分配这1000元比赛奖金才算公平?分析:平均分对甲欠公平,全归甲则对乙欠公平.合理的分法是按一定的比例分配.现在我们用计算机模拟两位棋手后面的比赛,是否就可以知道奖金分配方案.由于两位棋手的棋艺相当,可以假定他们在以下每局的比赛胜负的机会各半.Mathematica中函数产生随机数0或1,0与1出现的机会各占一半,可以用随机数1表示甲棋手胜,而随机数0表示乙胜.(也可以用中的随机实数来模拟两人的胜负,随机数大于0.5表示甲胜,否则乙胜)连续模拟1000次(或更多次数)每次模拟到甲乙两方乙有一方胜了三局为止.按所说方案分配奖金,1000次模拟结束后,计算两棋手每次的平均奖金,就是该棋手应得的奖金.模拟结果:甲:750,乙:250(程序见附录1)最终以甲分到;乙分到.即甲750元,乙250元.实际上,因为比赛只需进行两局.则可分出胜负.结果无非是以下四种情况之一:甲甲、甲乙、乙甲、乙乙.上面四种情况可看出,甲获胜的概率为,乙获胜的概率为.在Mathematica 中模拟程序见附录3.6 误差分析6.1 收敛性蒙特卡罗方法是由随机变量的简单子样的算术平均值:作为所求解的近似值.由大数定律可知,如独立同分布,且具有有限期望值(&lt;&infin;),则.即随机变量的简单子样的算术平均值,当子样数N充分大时,以概率1收敛于它的期望值.6.2 误差蒙特卡罗方法的近似值与真值的误差问题,概率论的中心极限定理给出了答案.该定理指出,如果随机变量序列,,&hellip;,独立同分布,且具有有限非零的方差,即是的分布密度函数.则当N充分大时,有如下的近似式其中称为置信度,1-称为置信水平.这表明,不等式近似地以概率1-成立,且误差收敛速度的阶为.通常,Monte Carlo方法的误差&epsilon;定义为上式中与置信度&alpha;是一一对应的,根据问题的要求确定出置信水平后,查标准正态分布表,就可以确定出.关于蒙特卡罗方法的误差需说明两点:第一,蒙特卡罗方法的误差为概率误差,这与其他数值计算方法是有区别的.第二,误差中的均方差是未知的,必须使用其估计值来代替,在计算所求量的同时,可计算出.例4 求用平均值法估计圆周率,并考虑置信度为5%,精度要求为0.01的情况下所需的试验次数.解:易知,故考虑令~,令,其期望值为,因此=,其中是[0,1]区间上均匀分布的随机数.此时,,,,所以(次).6.3 减小方差的各种技巧显然,当给定置信度&alpha;后,误差&epsilon;由&sigma;和N决定.要减小&epsilon;,或者是增大N,或者是减小方差.在固定的情况下,要把精度提高一个数量级,试验次数N 需增加两个数量级.因此,单纯增大N不是一个有效的办法.另一方面,如能减小估计的均方差&sigma;,比如降低一半,那误差就减小一半,这相当于N增大四倍的效果.因此降低方差的各种技巧,引起了人们的普遍注意.一般来说,降低方差的技巧,往往会使观察一个子样的时间增加.在固定时间内,使观察的样本数减少.所以,一种方法的优劣,需要由方差和观察一个子样的费用(使用计算机的时间)两者来衡量.这就是蒙特卡罗方法中效率的概念.它定义为,其中c 是观察一个子样的平均费用.显然越小,方法越有效.总的来说,增大样本的值对计算机要求较高;减小方差的技巧都只具有指导思想上的意义.对于实际的计算问题,往往要求对涉及的随机变量有先验的了解,或者对发生的物理过程的性态有一定的认识.通过利用这些预知的信息采取相应的手段减小误差,提高精度.附录1.(1)n=1000;p={}Do[m=0;Do[x=Random[];y=Random[];If[x+y&lt;=1,m++],{k,1,n}];AppendTo[p,N[4m/n]],{t,1,10}];Print[p];Sum[p[[t]],{t,1,10}]/10(2)n=10000;p={}Do[m=0;Do[x=Random[];y=Random[];If[x+y&lt;=1,m++],{k,1,n}];AppendTo[p,N[4m/n]],{t,1,10}];Print[p];Sum[p[[t]],{t,1,10}]/10(3)n=100000;p={}Do[m=0;Do[x=Random[];y=Random[];If[x+y&lt;=1,m++],{k,1,n}];AppendTo[p,N[4m/n]],{t,1,10}];Print[p];Sum[p[[t]],{t,1,10}]/102. n=1000;p={}Do[m=0;Do[x=Random[];y=Random[];z=Random[];If[x+y&lt;=1&amp;&amp;x+z&lt;=1&amp;&amp;y+z&lt;=1,m++],{k,1,n}]; AppendTo[p,N[8m/n]],{t,1,10}];Print[p];Sum[p[[t]],{t,1,10}]/103. n=1000;p={}Do[m=0;Do[x=Random[Integer]+2;y=Random[Integer]+1;If[x&gt;y,m++],{k,1,n}];AppendTo[p,N[m]],{t,1,20}]Print[m];{Sum[p[[t]],{t,1,20}]/20,1000-Sum[p[[t]],{t1,20}]/20}参考文献[1] 徐钟济.蒙特卡罗方法[M].上海:上海科学技术出版社,1985:171-188.[2] 茆诗松,王静龙,濮晓龙.高等数理统计[M].北京:高等教育出版社,2006:415-454.[3] 周铁,徐树方,张平文等.计算方法[M].吉林:清华大学出版社,2006:299-353.[4] 李尚志,陈发来,张韵华等.数学实验[M].北京:高等教育出版社,2004:23-30.[5] 王岩.Monte Carlo方法应用研究[J].云南大学学报(自然科学版),2006,28(S1): 23-26.[6] 薛毅,陈立萍.统计建模与R软件[M].北京:清华大学出版社,2008:476-485.[7] 杨自强.你也需要蒙特卡罗方法———提高应用水平的若干技巧[J]. 数理统计与管理, 2007,27(2):355-376.。

亚马逊棋

亚马逊棋

亚马逊棋的走法生产:1.亚马逊棋的走法分为两步,首先要移动一个棋子,然后由当前被移动的棋子放置一个障碍,棋子的移动和障碍的放置都遵循皇后的走法,所以在生成一步的所有可行走法时,走法的结构中应该至少包括3个数据:起点,终点,障碍放置点;2.由于亚马逊棋走法存在上述的特点,导致每一步的可行走法数量十分庞大,平均在1000多种左右,第一步有2176种可行走法。

亚马逊棋的局面评估:1.由上面的介绍可知,亚马逊棋的行棋目的是用障碍或自身棋子将对方棋子堵死,使其不能移动,而另一种思路则是圈地思想,用障碍或己方棋子为自己圈出足够大的地盘(对方棋子不能进入的区域),因为对方的地盘没有己方的多,这样迫使对方自己最后无路可走,将自己堵死;2.现在用的主要是后一种控制区域(地盘)的思想,当评估一个局面的好坏时,主要看对方棋子控制的区域和己方棋子控制区域的多少,至于什么样的区域算是己方的控制区域,现在多数用QueenMove的方法,详细的可以参考论文An evaluation function for the game of amazons3.亚马逊棋的评估方式与围棋有一点相似,都存在地盘的思想,但围棋更强调布局,亚马逊棋则更为直观,所以真人与电脑对局基本不会赢。

亚马逊棋的搜索:1.传统的负极大方法:用负极大方法为搜索的主体时,由于亚马逊棋每步的可行走法数量十分庞大,所以可以向下展开的层数很少,两层就会有数百万个叶子节点。

因此需要大量运用剪枝算法配合提前排序。

2.MC方法,即蒙特卡洛方法:以蒙特卡洛方法为主体的搜索方法也在亚马逊棋中大量运用,但与围棋中的MC方法不同的是,亚马逊棋中的MC模拟并不模拟到局面的终了,而是只模拟到一定的层数,详细的MC/UCT方法参见Amazons Discover Monte−Carlo和The Monte-Carlo Approach in Amazons。

Quantum Monte Carlo

Quantum Monte Carlo

Contributed Talks (alphabetically ordered following the speaker’s surname)Hansj¨o rg AlbrecherReinhold KainhoferRobert F.TichyDepartment of MathematicsGraz University of TechnologySteyrergasse30/IIA-8010Graz,Austriae-mail:albrecher@tugraz.athttp://www.cis.TUGraz.at/mathaTitleSimulation Methods in Ruin Modelswith Non-linear Dividend Barriers1AbstractIn this paper we consider a collective risk reserve process of an insurance portfolio char-acterized by a homogeneous Poisson claim number process,a constant premiumflow and independent and identically distributed claims.In the presence of a non-linear dividend bar-rier strategy and interest on the free reserve we derive equations for the probability of ruin and the expected present value of dividend payments which give rise to several numerical number-theoretic solution techniques.For various claim size distributions and a parabolic barrier numerical tests and comparisons of these techniques are performed.In particular,the efficiency gain obtained by implementing low-discrepancy sequences instead of pseudorandom sequences is investigated.1Research supported by the Austrian Science Foundation Project S-8308MATJames B.AndersonDepartment of ChemistryPennsylvania State UniversityUniversity Park,Pennsylvania16802e-mail:jba@TitleQuantum Monte Carlo:Direct Calculation of Corrections to Trial Wave Functions and Their EnergiesAbstractWe will discuss an improved Monte Carlo method for calculating the differenceδbetweena true wavefunctionΨand an analytic trial wavefunctionΨ0.The method also producesa correction to the expectation value of the energy for the trial function.Applications to several sample problems as well as to the water molecule will be described.We have described previously a quantum Monte Carlo(QMC)method for the direct cal-culation of corrections to trial wavefunctions[1-3].Our improved method is much simplerto use.Like its predecessors the improved method gives(forfixed nodes)the differenceδbetween a true wavefunctionΨand a trial wavefunctionΨ0,but it gives in addition thedifference between the true energy E and the expectation value of the energy E var for the trial wavefunction.The statistical or sampling errors associated with the Monte Carlo procedures as well as any systematic errors occur only in the corrections.Thus,very accurate wavefunctions and energies may be corrected with very simple calculations.For systems with nodes the nodes are unchanged.The wavefunctions and energies for these systems are corrected to thefixed-node values-those corresponding to the exact solutionsfor thefixed nodes of the trial wavefunctions.The method has the very desirable features of:good wavefunction in/better wavefunction out...good energy in/better energy out.The ground state of the helium atom provides a simple example.We used as a trial wavefunc-tion the189-term Hylleraas function described by Schwartz[4]which is accurate to about10 digits.The true energy is known to at least13digits from the analytic variational calculationof Freund,Huxtable,and Morgan[5]with a more complex trial function.The expectation value for the trial function is−2.903724376180(0)hartrees.The calculated correction is−0.000000000856(2)hartrees which gives a corrected value of−2.903724377036(2) hartrees.This may be compared with the known value of−2.903724377034(0)hartrees.The water molecule presents the problem of nodes in the wavefunction as well as a much higher dimensionality.In this case the nodes arefixed in position by the use offixed-node QMC procedures[6]and the resulting energy obtained is thefixed-node energy for the nodesof the trial wavefunction.As in anyfixed-node calculation the energy obtained is a variationalupper bound to the true energy,and if the nodes are wrong the energy will be higher than the true energy.The trial function for this case was a simple SCF function,consisting of a single10x10 determinant of LCAO-MO terms of Slater-type orbitals without any Jastrow or other explicit electron correlation terms.The expectation value of the energy for the trial function and the fixed-node QMC energy were determined independently by standard methods.In this case the initial energy is−75.560hartrees,the calculated correction is−0.599hartrees, and the corrected value is−76.169(10)hartrees.This may be compared with the indepen-dently calculated value of−76.170(10)hartrees.Earlierfixed-node QMC calculations for systems of ten or more electrons have used single-determinant trial wavefunctions with Jastrow terms.With the improved correction procedure the need for accurate expectation values for the trial function requires eliminating the Jastrow terms,but it may make practical the use of many more determinants in the trial function. This is likely to give improved node locations and lead to much lower node location errors. The sign problem of quantum Monte Carlo for large systems would not be eliminated but it might be significantly reduced.[1]J.B.Anderson and B.H.Freihaut,put.Phys.31,425(1979).[2]J.B.Anderson,J.Chem.Phys.73,3897(1980).[3]J.B.Anderson,M.Mella,and A.Luechow,in Recent Advances in Quantum Monte Carlo Methods,(W.A.Lester,Jr.,Ed.,World Scientific,Singapore)1997,pp.21-38.[4]C.Schwartz,Phys.Rev.128,1146(1962).[5]D.E.Freund,B.D.Huxtable,and J.D.Morgan III,Phys.Rev.A29,980(1984).[6]J.B.Anderson,J.Chem.Phys.63,1499(1975).James B.Anderson1Lyle N.Long21Department of Chemistry2Department of Aerospace EngineeringPennsylvania State UniversityUniversity Park,Pennsylvania16802e-mail:jba@TitleThe Simulation of DetonationsAbstractThe Direct Simulation Monte Carlo(DSMC)method(1,2)has been found remarkably suc-cessful for predicting and understanding a number of difficult problems in rarefied gas dynam-ics.Extension to chemical reaction systems has provided a very powerful tool for reacting gas mixtures with non-Maxwellian velocity distributions,with non-Boltzmann state distribu-tions,with coupled gas-dynamic and reaction effects,with concentration gradients,and with many other effects difficult or impossible to treat in any other way.Examples of systems which may be treated includeflames and explosions,shock waves and detonations,reactions and energy transfer in laser cavities,upper atmosphere reactions,and many,many others.In this paper we will discuss the application of the DSMC method to the problem of detonations, a classic and extreme example of the coupling of gas dynamics and chemical kinetics. Although a Monte Carlo simulation of a gas was described by Lord Kelvin in1901(3),it was not until the1960’s that the use of such simulations became practical for solving problems in thefield of rarefied gas dynamics.The combination of an efficient sampling method by Bird(1)in1963with high speed computers made possible the nearly exact simulation of a number of systems that had earlier been impossible to analyze.The current generation of computers makes it possible to consider much more ambitious applications:those in which chemical reactions are important.A detonation wave travels at supersonic speed in a reactive gas mixture and is driven by the energy released in exothermic reaction within the wave.The modern theory of detonations begins with the work of Chapman and of Jouguet about1900,and their work has been extended by a number of others,in particular by Zeldovich(4),von Neumann(5),and D¨o ring(6).These three arrived independently at an expression,the ZVD expression,giving the velocity of a detonation wave as the velocity of sound in the completely burned gases when the shock wave precedes the reaction.In order to simplify our DSMC calculations and to clarify the results by eliminating extrane-ous effects,we considered the special case of the reaction of A+M→B+M in which the masses of A,B,and M are equal.The gases were specified as ideal and calorically perfect with constant heat capacities.The cross-sections for reaction were specified as simple functions of collision energy corresponding to Arrhenius behavior.Calculations were carried out for a variety of conditions-covering a wide range of exothermicities and reaction rate parameters.The simulations provide complete details of the properties of the system as they vary across the detonation wave.A variety of interesting results have been obtained.Temperature, density,and reaction-rate peaks may be separated.Temperature and density maxima depend strongly on reaction rate.The thickness of the reaction zone depends strongly on conditions. The results provide severe tests for some of the earlier theoretical models of detonations.(1)G.A.Bird,Phys.Fluids6,1518(1963).(2)G.A.Bird,Molecular Gas Dynamics and the Direct Simulation of Gasflows,Clarendon Press,Oxford,1994.(3)Lord Kelvin,Phil.Mag.(London)2,1(1901).(4)Y.B.Zeldovich,J.Exptl.Theoret.Phys.(U.S.S.R.)10,542(1940).(5)J.von Neumann,O.S.R.D.Rept.No.549(1942).(6)W.D¨o ring,Ann.Physik43,421(1943).James B.AndersonDepartment of ChemistryPennsylvania State UniversityUniversity Park,Pennsylvania16802e-mail:jba@TitleMonte Carlo Treatment of UV Light Imprisonment in Fluorescent LampsAbstractThe efficiency of a modernfluorescent lamp is reduced significantly by self-absorption of the2537-˚A ultraviolet radiation emitted from mercury within the lamp(1).Experimental measurements indicate the efficiency may be increased by tailoring the isotopic composition of the mercury as by the addition of19680Hg to natural mercury(2).Radiation emitted by an atom in an optical transition from an excited state to the ground state is commonly called”resonance radiation.”Since the cross-section for absorption of this radiation by atoms in the ground state is typically large,a quantum of radiation released within a chamber containing emitting atoms is likely to be reabsorbed before reaching the walls of the chamber.The absorbing atom may subsequently emit the radiation,and the emission-absorption steps may be repeated a large number of times.The radiation is described as”imprisoned”or”trapped”when the number of steps required for escape to the walls is large.The imprisonment of resonance radiation in the electrical discharge offluorescent lamps can be treated by Monte Carlo methods.The calculation of radiation and energy transfer is essentially a simulation of the processes occurring within the lamp.Following the initial excitation of a mercury atom its energy(or photon)is tracked from atom to atom until the photon either leaves the system or is lost by quenching in the collision of an excited atom with another atom.The procedure is repeated thousands of times to obtain a reliable estimate of the overall exit probability and a spectrum of the exit radiation with an acceptable noise level.Many of the variables required in the calculation are selected from appropriately weighted distributions.For example,an initial isotopic species to be excited is selected with a prob-ability proportional to its fraction in the mixture.The direction of an emitted photon is selected at random in three dimensions.The frequency of the emitted radiation is selected from a Voigt distribution with the line center corresponding to that of the excited atom.The free path of a photon is selected from the calculated distribution of free paths for a photon with the same wavelength.The effects of emission and absorption linewidths,hyperfine splitting,isotopic composition, collisional transfers of excitation,and quenching are explicitly included in the calculations. The calculated spectra of the emitted radiation are in good agreement with measured spectra for several combinations of lamp temperature and mercury composition.The complete detailsof the hyperfine structure of the spectra including multiple peaks for the isotopes and line-reversal are accurately reproduced.Also in agreement with experiments,the addition of 196Hg to natural mercury is found to increase lamp efficiency.80(1)J.F.Waymouth,”Physics for Fun and Profit”,Physics Today54,38(2001).(2)J.Maya,M.W.Grossman,guschenko,and J.F.Waymouth,Science226,435 (1984).F.M.Bufler1A.SchenkW.FichtnerInstitut f¨u r Integrierte SystemeETH Z¨u richGloriastrasse35CH-8092Z¨u rich,Switzerlande-mail:bufler@iis.ee.ethz.chhttp://www.iis.ee.ethz.ch/portrait/staff/bufler.en.htmlTitleProof of a Simple Time–Step Propagation Schemefor Monte Carlo Simulation2AbstractMonte Carlo simulation has been established as a stochastic method for the solution of the Boltzmann transport equation(BE)(1;2;3)which is an integro–differential equation for the electron distribution function.Its solution can be used to compute macroscopic quantities such as the electron density or the current density.Since the BE considers the electron drift in the electricfield as well as the scattering events at a microscopic level,it allows one to take physical effects occurring in deep submicron metal–oxide–semiconductorfield–effect transistors(MOSFETs)into account,for example ballistic and hot–electron transport. Various algorithms have been developed to improve the computational efficiency of the Monte Carlo simulation.Among them is the self–scattering scheme of Rees(4)which uses an upper estimateΓof the scattering rate to greatly facilitate the determination of the collisionless flight–time.In order to avoid at the same time a large number of self–scattering events involved with a global upper estimation,a variableΓscheme is often being employed(1;5; 6;7).This scheme is especially useful for full–band Monte Carlo(FBMC)simulation where the electronic band structure is not described by an analytical formula,but computed by the empirical pseudopotential method and stored in a table.Here it is natural to assign a differentΓto each element of the discretized phase–space.However,for large selected free–flight times the electron will leave the original phase–space element and theflight–time is usually adjusted in a rather complicated manner in order to accomodate the change of Γ(5;6;7).It is the aim of this paper to show that such an adjustment is not necessary, but that simply a newflight–time can be stochastically selected if the border of the original phase–space element is crossed.The proof is based on the calculation of the probability that there is no scattering between the times0and t.This event is equivalent to the time of thefirst scattering,t s,being larger than t and therefore the event will be denoted by{t s∈(0,t)}.When the time interval(0,t) is decomposed into two not necessarily equidistant time intervals,the above event can be represented as the intersection of the events that there is no scattering in any of the two intervals,i.e.we have for the corresponding probability1Speaker2Research supported by the Kommission f¨u r Technologie und Innovation(KTI),project4082.2P ({t s ∈(0,t )})=P ({t s ∈(0,t 1)}∩{t s ∈(t 1,t )})(1)Equation (1)is completely general and does not refer to the Boltzmann transport equation (BE).On the other hand,in the specific case of the BE,this probability is given by (8;9)P BE ({t s ∈(0,t )})=exp − t 0S (k (τ))dτ(2)where S is the scattering rate and k (τ)the electron’s momentum at time τ.The exponential in Eq.(2)allows a factorization according toP BE ({t s ∈(0,t )})=P BE ({t s ∈(0,t 1)}∩{t s ∈(t 1,t )})=exp − t 10S (k (τ))dτ+ tt 1S (k (τ))dτ=exp(−t 10S (k (τ))dτ)×exp(− t t 1S (k (τ))dτ)=P BE ({t s ∈(0,t 1)})×P BE ({t s ∈(t 1,t )}).(3)Since P (A ∩B )=P (A )×P (B )for stochastically independent events A and B ,Eq.(3)proves that the absence of scattering in the interval (t 1,t )is independent of the absence of scattering in the interval (0,t 1).In other words,when the event that the first scattering does not occur before t 1is realized (with the help of a random number r evenly distributed in [0,1)),the particle can be propagated until t 1and then a new random number can be generated to decide whether scattering occurs in the next interval.For an explicit treatment of the opposite event,we observe regardless of the above consider-ations that Eq.(2)shows for t →∞that there will occur,at some time,the first scattering.It follows that P BE ({t s ∈(0,t 1)})=1−P BE ({t s ∈(0,t 1)})=1−exp(− t 1S (k (τ))dτ).(4)Hence,in the self–scattering scheme with an upper estimation Γof S (k ),the event of the first scattering occurring before t 1is realized for r <1−exp(−Γt 1).In this case the particle ispropagated as usual until t s =−1Γln(1−r ).In fact,the above inequality leads to −ln(1−r )<Γt 1and therefore to t s <t 1.In summary,the above considerations have proven the following propagation scheme.First,a random number is used to determine whether the first scattering occurs before a given time t 1.In this case,the particle is propagated according to the corresponding free–flight time,otherwise until t 1.Then a new,possibly different time step is defined and the procedure is repeated.The validity of this scheme has been verified by an explicit comparison with the standard Monte Carlo scheme and was used for an efficient FBMC device simulation (10).References[1]C.Jacoboni and P.Lugli,The Monte Carlo Method for Semiconductor Device Simulation(Springer,Wien,1989).[2]Monte Carlo Device Simulation:Full Band and Beyond,edited by K.Hess(Kluwer,Boston,1991).[3]M.V.Fischetti and ux,Phys.Rev.B38,9721(1988).[4]H.D.Rees,Phys.Lett.A26,416(1968).[5]J.Bude and R.K.Smith,Semicond.Sci.Technol.9,840(1994).[6]E.Sangiorgi,B.Ricco,and F.Venturi,IEEE puter–Aided Des.7,259(1988).[7]C.Jungemann,S.Keith,M.Bartels,and B.Meinerzhagen,IEICE Trans.Electron.E82–C,870(1999).[8]W.Fawcett,A.D.Boardman,and S.Swain,J.Phys.Chem.Solids31,1963(1970).[9]A.Reklaitis,Phys.Lett.A88,367(1982).[10]F.M.Bufler,A.Schenk,and W.Fichtner,IEEE Trans.Electron Devices47,1891(2000).Ervin Dubaric12Urban EnglundMats Hjelm2Hans-Erik NilssonDepartment of Information Technology and MediaMid-Sweden UniversitySE-85170Sundsvall,SwedenTitleMonte Carlo Simulation of the Transient Response ofSingle Photon Absorption in X-ray Pixel DetectorsAbstractA Monte Carlo method to simulate the transient response of X-ray pixel detectors is proposed. The method combines the use of a state of the art photon transport and absorption model with full band Monte Carlo simulation of the semiconductor detector.The method has been used to study the transient response of a single photon absorption event in three different X-ray pixel detectors,one photon counting detector,one integrating detector and one scintillator coated integrating pixel detector.In a photon counting detector each absorbed photon is detected as a current pulse,which in turn triggers a digital counter.In an integrating version, the current is integrated by a charge sensitive amplifier,producing an analog signal as the detector output.Coating an integrating detector with a scintillating layer increases the number of photons that can be detected by the detector.In this case the signal is generated both by X-ray photons captured in the scintillator and by X-ray photons captured directly in the semiconductor.There are different reasons to study the single photon absorption in these detector structures.In the photon counting configuration the actual output signal is the transient response of a single photon absorption event.On the other hand,in the integrating configuration the single photon event may be used to study charge sharing effects introduced by absorption in the boundary region of the pixel detector.In this case the interest is primarily to track the generated carriers as they are distributed among the neighboring pixels.Introduction to X-ray imaging detectorsAn X-ray detector can either be made from a heavy semiconductor with high stopping power for X-rays or a scintillator can be used to convert the X-ray photons to visible light,which is then sensed by a pixel sensor.In a single layer detector,made from a heavy semiconductor, the response of the system is only determined by the properties of the semiconductor.In a detector system where a scintillator and photo-detector form a two-layer system the response of the system depends both on the properties of the scintillator and the properties of the photo-detector.1Speaker;e-mail:Ervin.Dubaric@ite.mh.se2also:Solid State Electronics,Department of Microelectronics and Information Technology,Royal Institute of Technology(KTH),Electrum229,SE-16440Kista,SwedenIn a scintillator coated X-ray imaging sensor the signal is generated both by X-ray photons captured in the scintillator and by X-ray photons captured in the semiconductor sensor.Since the amount of generated charge in the semiconductor,per MeV of absorbed X-ray energy, differs significantly depending on where the absorption occurred,the image properties are affected both by the scintillator and the semiconductor sensor.In a photon counting system a pure semiconductor detector is used.The detector should have high charge collection efficiency,which demands the use of a very pure semiconductor material in order to obtained the highest possibleµ·τproduct.A typical sensor consists of a shallow PN junction,with as large depletion region in the bulk as possible.SimulationA method to simulate these types of detectors is proposed.The method is based on the use of two different Monte Carlo simulation software packages.The photon transport is simulated using the commercially available MCNP software and the charge carrier transport is simulated using our own full band Monte Carlo device simulator.A third,in house software,is used as a link between the two Monte Carlo simulators when simulating the scintillator coated detector.This in house software calculates the distribution and absorption of visible light in the semiconductor resulting from an X-ray absorption in the scintillating layer.A large part of this light is absorbed near the surface of the nearest pixel detector.However,depending on the design of the scintillating layer charge sharing may occur as the light is scattered towards neighboring pixels.The simulation procedure starts by simulating the detector structure in MCNP.MCNP cal-culates the trajectory of incoming X-ray photons using a Monte Carlo approach.The tra-jectories of the simulated photons are investigated and a number of particularly interesting trajectories is selected.Each of these trajectories(including data for deposited charge along the path)is used as input in the full band Monte Carlo device simulator.In the case of an absorption in the scintillator layer,the in house light scattering program is used to transfer the signal down to the semiconductor detector.The response of the detector is then simulated using the full band Monte Carlo device simulator.There are several important issues that need to be addressed in simulation of the detector re-sponse.The detector structures are usually very large which makes self-consistent simulation very time consuming.In this work we have used self-consistent simulations in the photon counting detector where the absorption event occurs in the depletion region.In this way we may directly record the current pulse at the detector electrodes.In the case of the integrating detectors we are following the carriers as they move towards collection.The charge sharing is studied by comparing the number of carriers absorbed at different pixel locations.The actual current pulse is not recorded,which allows us to use a constant potential profile during the simulation.The potential profile has been obtained from drift-diffusion simulation of a dark detector.Simulation result of different detector structures is presented using this new approach.The result has primarily been used to visualize the charge sharing in pixel arrays and to study the transient response as a function of position of the absorption in photon counting detectors.Lucian ShifrenDavid K.Ferry1Department of Electrical EngineeringCenter for Solid State Electronics ResearchArizona State UniversityTempe,Arizona,85287-5706,USAe-mail:ferry@/~nanoTitleA Particle Monte Carlo SimulationBased on the Wigner Function DistributionAbstractWe present results of a new particle-based ensemble Monte Carlo(EMC)simulation of the Wigner distribution function(WDF).EMC of quantum systems is difficult to implement due to the particle nature of the method and the wave-like nature of the quantum phenomena. We introduced a new property for the particles,which we call the particle affinity,which allows the overall distribution to assume negative and partial electron values.We divide the simulation into two system,thefirst being the EMC regime,and the second being the WDF regime.Although two systems exists,the two systems work simultaneously within the simulation.Within the EMC regime,all particles in the system are treated equally,that is,all particles have an assigned position and momentum,all particles drift and are accelerated and scattered.In the WDF regime however,along with the pre-mentioned properties assigned to the electrons,we also assign the electrons an affinity.The affinity value the electron may take must have a magnitude less then one,where a value of one corresponds to a“present”electron,a value of minus one corresponds to a“minus presence,”and any value in between accounts for the partial“presence”or“minus presence”of an electron.Within the simulation, all particles drift and are accelerated,independent of what their affinities might be.However, when calculating the Wigner potential(which is a non-local potential),we switch to the WDF regime.Here,the Wigner distribution is defined byf(x,k)=δ(x−x i)δ(k−k i)A(i),(1)iwhere the delta functions represent the presence of a particle from the EMC regime,and A,the affinity,represents the value of the electron which is contributed to the distribution. Results using this method are shown in Fig1.The results show a gaussian wave packet which has tunneled through a potential barrier.This result has been compared to two fully quantum mechanical simulations,namely,a full solution of Schr¨o dinger equations and the direct solution of the WDF.The transmission coefficients of all three cases is∼0.35,which corresponds to the analytical value determined from simple tunneling theory.The new EMC 1Speaker;Research supported by the Office of Naval Researchmethod has also been checked against the other methods using Bohm trajectories which show remarkable similarity to each other.The EMC method correctly shows that the Bohm trajectories originating from the front of the gaussian packet are the ones that tunnel.Not only does the particle solution calculate the correct transmission and give the correct Bohm trajectories,but also,the resulting density displays interference effects and correlations,seen in Fig1,that have previously only been seen in fully quantum mechanical simulations.Cor-relations are fully quantum mechanical and allow for time reversal in quantum systems.We believe this to be thefirst particle-based simulation that correctly accounts for interference, correlation and tunneling.Figure1:Distribution function from EMC solution of a gaussian which has tunneled through a potential barrier2nm wide and0.3eV high.S.M.RameyD.K.Ferry1Department of Electrical Engineering andCenter for Solid State Electronics ResearchArizona State UniversityTempe,Arizona,85287-5706USAe-mail:ferry@/~nanoTitleMonte Carlo Modeling of Quantum Effects inSemiconductor Devices with Effective PotentialsAbstractAs modern devices continue to scale to smaller sizes,it has become imperative to include quantum mechanical effects when modeling device behavior.We have recently proposed the use of the effective potential to treat the quantum mechanical effects of confinement in the region adjacent to the oxide interface[1].In this work,we illustrate the use of the effective potential as a fast and simple method of including these effects in Monte Carlo simulation of ultrasmall SOI MOSFETs.The effective potential concept uses the fact that as the electron moves,the edge of the wave packet encounters variations in the potential profile before the center of the wave packet. Mathematically,this effect at a point(x i,y j)can be treated as the convolution of the potential with the Gaussian wave packet as follows:V eff(x i,y j)=V(x,y)G(x,y;x i,y i;a x,a y)dxdywhere G is the Gaussian function with standard deviations a x and a y.The spread of the wave packet is determined by the thermal de Broglie wavelength for the lateral direction and the confining potential in the transverse direction[2,3].The effective potential is included in the Monte Carlo transport simulation by applying the above convolution to the potential found from solution of the Poisson equation.As an example,the resulting effective potential profile for an SOI NMOSFET with a30nm silicon layer is illustrated in Fig.1for an applied gate and drain voltage of1.2volts.The potential clearly increases at the oxide interfaces as a result of the convolution with the electron wave packet.As a result of this potential increase,the electrons experience a strong electricfield, which is then included in the Monte Carlo transport kernel.As a demonstration of this,Fig.2shows the electron density distribution that corresponds to the potential profile in Fig.1.The average electron density set-back from the gate interface is about2.5nm,which is consistent with results shown elsewhere[3].1Speaker;Research supported by the Semiconductor Research Corporation。

蒙特拉罗方法

蒙特拉罗方法
1Байду номын сангаас
需要计算的积分为I = ∫ f ( x)dx ,积分I等于图中的面积G。
0
在图所示单位正方形内均匀地作投点试验,则随机点落在曲线下 面的概率为 1 f ( x) 1
Pr { y ≤ f ( x)} = ∫
0

0
dydx = ∫ f ( x)dx
0
假设向单位正方形内随机地投入n个点(xi,yi)。如果有m个点落入
• 考虑平面上的一个边长为1的正方形及其内部 的一个形状不规则的“图形”,如何求出这个 “图形”的面积呢?Monte Carlo方法是这样一 种“随机化”的方法:向该正方形“随机地” 投掷N个点,若有M个点落于“图形”内,则 该“图形”的面积近似为M/N。
圆周率的值 π = 3. 14159 26535 89793 23846 26433 83279 50288 41971 69399 37510 58209 74944 59230 78164 06286 20899 86280 34825 34211 70679 82148 08651 32823 06647 09384 46095 50582 23172 53594 08128 48111 74502 84102 70193 85211 05559 64462 29489 54930 38196 44288 10975 66593 34461 28475 64823 37867 83165 27120 19091 45648 56692 34603 48610 45432 66482 13393 60726 02491 41273 72458 70066 06315 58817 48815 20920 96282 92540 91715 36436 78925 90360 01133 05305 48820 46652 13841 46951 94151 16094 33057 27036 57595 91953 09218 61173 81932 61179 31051 18548 07446 23799 62749 56735 18857 52724 89122 79381 83011 94912 98336 73362 44065 66430 86021 39494 63952 24737 19070 21798 60943 70277 05392 17176 29317 67523 84674 81846 76694 05132 00056 81271 45263 56082 77857 71342 75778 96091 73637 17872 14684 40901 22495 34301 46549 58537 10507 92279 68925 89235 42019 95611 21290 21960 86403 44181 59813 62977 47713 .....

蒙特卡洛模型方法

蒙特卡洛模型方法

蒙特卡罗方法(Monte Carlo method)蒙特卡罗方法概述蒙特卡罗方法又称统计模拟法、随机抽样技术,是一种随机模拟方法,以概率和统计理论方法为基础的一种计算方法,是使用随机数(或更常见的伪随机数)来解决很多计算问题的方法。

将所求解的问题同一定的概率模型相联系,用电子计算机实现统计模拟或抽样,以获得问题的近似解。

为象征性地表明这一方法的概率统计特征,故借用赌城蒙特卡罗命名。

蒙特卡罗方法的提出蒙特卡罗方法于20世纪40年代美国在第二次世界大战中研制原子弹的“曼哈顿计划”计划的成员S.M.乌拉姆和J.冯·诺伊曼首先提出。

数学家冯·诺伊曼用驰名世界的赌城—摩纳哥的Monte Carlo—来命名这种方法,为它蒙上了一层神秘色彩。

在这之前,蒙特卡罗方法就已经存在。

1777年,法国Buffon提出用投针实验的方法求圆周率∏。

这被认为是蒙特卡罗方法的起源。

蒙特卡罗方法的基本思想Monte Carlo方法的基本思想很早以前就被人们所发现和利用。

早在17世纪,人们就知道用事件发生的“频率”来决定事件的“概率”。

19世纪人们用投针试验的方法来决定圆周率π。

本世纪40年代电子计算机的出现,特别是近年来高速电子计算机的出现,使得用数学方法在计算机上大量、快速地模拟这样的试验成为可能。

考虑平面上的一个边长为1的正方形及其内部的一个形状不规则的“图形”,如何求出这个“图形”的面积呢?Monte Carlo方法是这样一种“随机化”的方法:向该正方形“随机地”投掷N个点,有M个点落于“图形”内,则该“图形”的面积近似为M/N。

可用民意测验来作一个不严格的比喻。

民意测验的人不是征询每一个登记选民的意见,而是通过对选民进行小规模的抽样调查来确定可能的优胜者。

其基本思想是一样的。

科技计算中的问题比这要复杂得多。

比如金融衍生产品(期权、期货、掉期等)的定价及交易风险估算,问题的维数(即变量的个数)可能高达数百甚至数千。

蒙特卡罗模拟在金融市场风险评估中的应用

蒙特卡罗模拟在金融市场风险评估中的应用

蒙特卡罗模拟在金融市场风险评估中的应用Chapter 1: IntroductionMonte Carlo simulation is a widely used technique in finance for assessing risk. It involves the generation of multiple scenarios with a random set of variables to simulate the potential outcomes of an investment. The simulation is based on probabilistic models that use statistical analysis of the underlying assets, assumptions, and relationships between them. This technique is becoming increasingly popular in financial markets due to its ability to provide insights into asset valuation, risk management, and portfolio optimization. This article explores the application of Monte Carlo simulation in financial risk assessment.Chapter 2: Concept of Monte Carlo SimulationMonte Carlo simulation is based on the idea of generating many random variables to simulate a real-world system. In finance, these random variables can be used to simulate stock prices, interest rates, exchange rates, among others. Monte Carlo simulation allows for the modeling of complex systems that are difficult to solve analytically, and allows for the evaluation of possible outcomes with varying probabilities. The steps involved in Monte Carlo simulation include defining the problem, identifying input variables, specifying the probability distributions, simulating the output variables, and analyzing the results.Chapter 3: Monte Carlo Simulation in Asset ValuationMonte Carlo simulation is used to value assets that are difficult to estimate using traditional methods, such as options and derivatives. Options and derivatives are sensitive to a variety of factors such as volatility and interest rates, which can be difficult to predict. Monte Carlo simulation provides a way to value these assets by simulating the underlying variables that influence their value. By simulating multiple scenarios, it is possible to estimate the fair price of an option or derivative and also to calculate the associated risks.Chapter 4: Monte Carlo Simulation in Risk ManagementMonte Carlo simulation is also used in risk management to identify potential risks and vulnerabilities in financial portfolios. By simulating various scenarios, it is possible to identify which positions are most exposed to changes in underlying variables and to understand the associated risks. This information can then be used to make informed decisions about the allocation of assets to reduce the likelihood of losses in a market downturn.Chapter 5: Monte Carlo Simulation in Portfolio OptimizationMonte Carlo simulation is used to optimize investment portfolios by identifying the optimal asset allocation based on the investors' goals and risk tolerance. By simulating various scenarios, it is possible to identify which assets are most likely to generate returns in different market conditions. The simulation can also help investors identify thebest mix of assets to achieve a desired level of return or to minimize downside risk.Chapter 6: ConclusionMonte Carlo simulation is a powerful tool that is widely used in finance for evaluating risks and opportunities associated with investments. It provides a way to model the uncertainty and variability of different financial assets, which can be difficult to estimate using traditional methods. By simulating multiple scenarios, it is possible to identify potential risks and vulnerabilities in financial portfolios, and to make informed decisions about asset allocation. Monte Carlo simulation has become an essential tool in financial markets and is likely to continue to grow in importance as markets become more complex and uncertain.。

利用MINITAB做蒙特卡洛模拟

利用MINITAB做蒙特卡洛模拟

利⽤MINITAB做蒙特卡洛模拟Doing Monte Carlo Simulation in Minitab Statistical SoftwareDoing Monte Carlo simulations in Minitab Statistical Software is very easy. This article illustrates how to use Minitab for Monte Carlo simulations using both a known engineering formula and a DOE equation.by Paul Sheehy and Eston MartzMonte Carlo simulation uses repeated random sampling to simulate data for a given mathematical model and evaluate the outcome. This method was initially applied back in the 1940s, when scientists working on the atomic bomb used it to calculate the probabilities of one fissioning uranium atom causing a fission reaction in another. With uranium in short supply, there was little room for experimental trial and error. The scientists discovered that as long as they created enough simulated data, they could compute reliable probabilities—and reduce the amount of uranium needed for testing.Today, simulated data is routinely used in situations where resources are limited or gathering real data would be too expensive or impractical. By using Minitab’s ability to easily create random data, you can use Monte Carlo simulation to: Simulate the range of possible outcomes to aid in decision-makingForecast financial results or estimate project timelinesUnderstand the variability in a process or systemFind problems within a process or systemManage risk by understanding cost/benefit relationshipsSteps in the Monte Carlo ApproachDepending on the number of factors involved, simulations can be very complex. But at a basic level, all Monte Carlo simulations have four simple steps:1. Identify the Transfer EquationTo do a Monte Carlo simulation, you need a quantitative model of the business activity, plan, or process you wish to explore. The mathematical expression of your process is called the “transfer equation.” This may be a known engineering or business formula, or it may be based on a model created from a designed experiment (DOE) or regression analysis.2. Define the Input ParametersFor each factor in your transfer equation, determine how its data are distributed. Some inputs may follow the normal distribution, while others follow a triangular or uniform distribution. You then need to determine distribution parameters for each input. For instance, you would need to specify the mean and standard deviation for inputs that follow a normal distribution.3. Create Random DataTo do valid simulation, you must create a very large, random data set for each input—something on the order 100,000 instances. These random data points simulate the values that would be seen over a long period for each input. Minitab can easily create random data that follow almost any distribution you are likely to encounter.4. Simulate and Analyze Process OutputWith the simulated data in place, you can use your transfer equation to calculate simulated outcomes. Running a large enough quantity of simulated input data through your model will give you a reliable indication of what the process will output over time, given the anticipated variation in the inputs.Those are the steps any Monte Carlo simulation needs to follow. Here’s how to apply them in Minitab.Monte Carlo Using a Known Engineering FormulaA manufacturing company needs to evaluate the design of a proposed product: a small piston pump that must pump 12 ml of fluid per minute. You want to estimate the probable performance over thousands of pumps, given natural variation in piston diameter (D), stroke length (L), and strokes per minute (RPM). Ideally, the pump flow across thousands of pumps will have a standard deviation no greater than 0.2 ml.Step 1: Identify the Transfer EquationThe first step in doing a Monte Carlo simulation is to determine the transfer equation. In this case, you can simply use an established engineering formula that measures pump flow:Flow (in ml) = π(D/2)2? L ? RPMStep 2: Define the Input ParametersNow you must define the distribution and parameters of each input used in the transfer equation. The pump’s piston diameter and stroke length are known, but you must calculate the strokes-per-minute (RPM) needed to attain the desired 12 ml/minute flow rate. Volume pumped per stroke is given by this equation:π(D/2)2 * LGiven D = 0.8 and L = 2.5, each stroke displaces 1.256 ml. So to achieve a flow of 12 ml/minute the RPM is 9.549.Based on the performance of other pumps your facility has manufactured, you can say that piston diameter is normally distributed with a mean of 0.8 cm and a standard deviation of 0.003 cm. Stroke length is normally distributed with a mean of2.5 cm and a standard deviation of 0.15 cm. Finally, strokes per minute is normally distributed with a mean of 9.549 RPM anda standard deviation of 0.17 RPM.Step 3: Create Random DataNow you’re ready to set up the simulation in Minitab. With Minitab you can instantaneously create 100,000 rows of simulated data. Starting with the simulated piston diameter data, choose Calc > Random Data > Normal. In the dialog box, enter 100,000 in Number of rows of data to generate, and enter “D” as the column in which to store the data. Enter the mean and standard deviation for piston diameter in the appropriate fields. Press OK to populate the worksheet with 100,000 data points randomly sampled from the specified normal distribution.Then simply repeat this process for Stroke Length (L) and Strokes per Minute (RPM).Step 4: Simulate and Analyze Process OutputNow create a fourth column in the worksheet, Flow, to hold the results of your process output calculations. With the randomly generated input data in place, you can set up Minitab’s calculator to calculate the output and store it in the Flow column. Go to Calc > Calculator, and set up the flow equation like this:Minitab will quickly calculate the output for each row of simulated data.Now you’re ready to look at the results. Select Stat > Basic Statistics > Graphical Summary and select the Flow column. Minitab willgenerate a graphical summary that includes four graphs: a histogram of data with an overlaid normal curve, boxplot, and confidence intervals for the mean and the median. The graphical summary also displays Anderson-Darling Normality Test results, descriptive statistics, and confidence intervals for the mean, median, and standard deviation.The graphical summary of your Monte Carlo simulation output will look like this:For the random data generated to write this article, the mean flow rate is 12.004 based on 100,000 samples. On average, we are on target, but the smallest value was 8.882 and the largest was 15.594. That’s quite a range. The transmitted variation (of all components) results in a standard deviation of 0.757 ml, far exceeding the 0.2 ml target. Also, we see that the 0.2 ml target falls outside of the confidenceinterval for the standard deviation.It looks like this pump design exhibits too much variation and needs to be further refined before it goes into production; Monte Carlo simulation with Minitab let us find that out without incurring the expense of manufacturing and testing thousands of prototypes.Lest you wonder whether these simulated results hold up, try it yourself! Creating different sets of simulated random data will result in minor variations, but the end result—an unacceptable amount of variation in the flow rate—will be consistent every time. That’s the power of the Monte Carlo method.Monte Carlo Using a DOE Response EquationWhat if you don’t know what equation to use, or you are trying to simulate the outcome of a unique process?An electronics manufacturer has assigned you to improve its electrocleaning operation, which prepares metal parts for electroplating. Electroplating lets manufacturers coat raw materials with a layer of a different metal to achieve desired characteristics. Plating will not adhere to a dirty surface, so the company has a continuous-flow electrocleaning system that connects to an automatic electroplating machine. A conveyer dips each part into a bath which sends voltage through the part, cleaning it. Inadequate cleaning results in a high Root Mean Square Average Roughness value, or RMS, and poor surface finish. Properly cleaned parts have a smooth surface and a low RMS. To optimize the process, you can adjust two critical inputs: voltage (Vdc) and current density (ASF). For your electrocleaning method, the typical engineering limits for Vdc are 3 to 12 volts. Limits for current density are 10 to 150 amps per square foot (ASF).Step 1: Identify the Transfer EquationYou cannot use an established textbook formula for this process, but you can set up a Response Surface DOE in Minitab to determine the transfer equation. Response surface DOEs are often used to optimize the response by finding the best settings for a "vital few" controllable factors.In this case, the response will be the surface quality of parts after they have been cleaned.To create a response surface experiment in Minitab, choose Stat > DOE > Response Surface > Create Response Surface Design. Because we have two factors—voltage (Vdc) and current density (ASF)—we’ll select a two-factor central composite design, which has 13 runs.After Minitab creates your designed experiment, you need to perform your 13 experimental runs, collect the data, and record the surface roughness of the 13 finished parts. Minitab makes it easy to analyze the DOE results, reduce the model, and check assumptions using residual plots. Using the final model and Minitab’s response optimizer, you can find the optimum settings for your variables. In this case, you set volts to 7.74 and ASF to 77.8 to obtain a roughness value of 39.4.The response surface DOE yields the following transfer equation for the Monte Carlo simulation:Roughness = 957.8 ? 189.4(Vdc) ? 4.81(ASF) + 12.26(Vdc2) + 0.0309(ASF2)Step 2: Define the Input ParametersNow you can set the parametric definitions for your Monte Carlo simulation inputs. (The standard deviations must be known or estimated based on existing process knowledge.) Volts are normally distributed with a mean of 7.74 Vdc and a standard deviation of 0.14 Vdc. Amps per Square Foot (ASF) are normally distributed with a mean of 77.8 ASF and a standard deviation of 3 ASF.Step 3: Create Random DataWith the parameters defined, it’s simple to create 100,000 rows of simulated data for our two inputs using Minitab’s Calc > Random Data > Normal dialog.Step 4: Simulate and Analyze Process OutputNow we can use the Calculator to enter our formula, followed by Stat > Basic Statistics > Graphical Summary.The summary shows that even though the underlying inputs were normally distributed, the distribution of the RMS roughness is non-normal. The summary also shows that the transmitted variation of all components results in a standard deviation of 0.521, and process knowledge indicates this is a good process result. Based on a DOE with just 13 runs, we can determine the reality of what will be seen in the process.Where Can You Apply the Monte Carlo Simulation?The Monte Carlo method has come a long way since it revolutionized nuclear research in the 1940s. Today, using simulated data to develop a reliable parametric picture of a process’s outcome is a vital tool in industries including finance,manufacturing, oil and gas extraction, pharmaceuticals, and many more.In nearly any situation for which you can develop a mathematical model, Minitab’s ability to create random simulated data gives you easy access to the power of the Monte Carlo simulation.This article is based on a presentation delivered by Paul Sheehy, Minitab technical training specialist, at the ASQ Lean Six Sigma Conference in February 2012.。

monte-carlo方法

monte-carlo方法

monte-carlo方法
Monte Carlo方法是一种利用随机数模拟来计算复杂问题的方法。

其基本思想是通过随机模拟来近似计算一个问题的概率分布、期望值或其他统计量。

这个方法可以用于各种领域,如物理、统计学、金融、计算机科学等。

在应用中,Monte Carlo方法通常通过随机抽样来获得数据。

这些数据可以用来计算某些感兴趣的统计量,如平均值、标准差、方差等。

一旦这些统计量被计算出来,它们就可以被用来近似计算问题的解决方案。

Monte Carlo方法的优点是可以处理各种复杂的问题,因为它不要求求解问题的解析解。

此外,它还可以提供不确定性分析,因为随机模拟的结果本身就有一定程度的随机性。

然而,Monte Carlo方法的缺点是它需要大量的计算资源。

由于需要进行大量的随机模拟,它的计算速度较慢。

此外,它还可能受到随机性的影响,导致结果不准确。

为了减少这种影响,通常需要进行多次模拟并取平均值。

总之,Monte Carlo方法是一种利用随机模拟来解决复杂问题的方法。

虽然它需要大量的计算资源,但它可以处理各种复杂的问题,并提供不确定性分析。

蒙特卡罗方法MonteCarlosimulation

蒙特卡罗方法MonteCarlosimulation

第六章 引言(Introduction)
Monte Carlo模拟在物理研究中的作用
第六章 引言(Introduction)
Monte Carlo模拟的步骤: 1. 根据欲研究的物理系统的性质,建立能够描述该系统特性 的理论模型,导出该模型的某些特征量的概率密度函数; 2. 从概率密度函数出发进行随机抽样,得到特征量的一些模 拟结果; 3. 对模拟结果进行分析总结,预言物理系统的某些特性。
第六章 引言(Introduction)
Monte Carlo方法简史 简单地介绍一下Monte Carlo方法的发展历史
1、Buffon投针实验: 1768年,法国数学家Comte de Buffon利用投针实验估计的值
L
d
p
2L d
第六章 引言(Introduction)
Problem of Buffon’s needle: If a needle of length l is dropped at random on the middle of a horizontal surface ruled with parallel lines a distance d>l apart, what is the probability that the needle will cross one of the lines?
第六章 引言(Introduction)
Solution:
The positioning of the needle relative to nearby lines can be described with a random vector which
[0, )
The random vector is uniformly distributed on the region [0,d)×[0,). Accordingly, it has probability density function 1/d.

Monte Carlo方法在金融风险评估中的应用

Monte Carlo方法在金融风险评估中的应用

Monte Carlo方法在金融风险评估中的应用随着金融市场的不断发展和金融产品的不断创新,金融风险评估变得越来越重要。

为了预测和评估金融市场的风险,研究人员和从业者一直在探索各种方法。

Monte Carlo方法是一种常见且有效的数值模拟方法,在金融风险评估中得到了广泛的应用。

Monte Carlo方法是一种通过随机抽样和统计分析来估计数学运算结果的方法。

它模拟了大量的随机事件,根据这些事件的结果进行统计分析,从而得到相应的风险评估结果。

在金融风险评估中,Monte Carlo方法可以用于预测投资组合的风险和回报,对衍生品进行定价和风险管理等。

首先,Monte Carlo方法在金融风险评估中可以用于预测投资组合的风险和回报。

投资者和资产管理公司可以通过模拟大量的随机路径来估计投资组合的风险敞口和收益率。

通过引入随机性,Monte Carlo方法可以捕捉到市场波动性和不确定性对投资组合的影响。

投资者可以基于Monte Carlo模拟的结果来优化资产配置和预测投资组合的未来表现。

其次,Monte Carlo方法在金融衍生品的定价和风险管理中也具有重要的应用。

衍生品是一种金融合约,其价值是由基础资产的价格或指数决定的。

由于衍生品的复杂性和市场变动的不确定性,传统的定价方法常常无法精确估计衍生品的价值。

Monte Carlo方法通过模拟大量随机路径和不同的市场情景,可以更准确地估计衍生品的价值和风险暴露。

此外,通过Monte Carlo方法,投资者还可以对不同的风险管理策略进行模拟和评估,以选择最适合自己的风险管理策略。

此外,在金融市场的风险评估中,Monte Carlo方法还可以用于模拟股价的未来走势,从而预测市场风险和波动性。

通过模拟大量的随机路径,Monte Carlo方法可以生成股价的概率分布,进而计算出不同的风险度量,如价值-at-风险 (Value-at-Risk)。

金融机构可以根据这些风险度量来评估其风险暴露,制定相应的风险管理策略,以应对不同的市场情景。

相关主题
  1. 1、下载文档前请自行甄别文档内容的完整性,平台不提供额外的编辑、内容补充、找答案等附加服务。
  2. 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
  3. 3、如文档侵犯您的权益,请联系客服反馈,我们会尽快为您处理(人工客服工作时间:9:00-18:30)。

The Monte-Carlo Approach in AmazonsJulien Kloetzer1,Hiroyuki Iida1,and Bruno Bouzy21Research Unit for Computers and GamesJapan Advanced Institute of Science and Technology2Centre de Recherche en Informatique de Paris5Universit´e Ren´e DescartesAbstract.The game of the Amazons is a quite new game whose rulesstand between the game of Go and Chess.Its main difficulty in termsof game programming is the huge branching factor.Monte-Carlo is amethod used in game programming which allows us to overcome easilythis problem.This paper presents how the Monte-Carlo method can bebest adapted to Amazon programming to obtain a good level program,and improvements that can be added to it.1IntroductionThe game of Amazons(in Spanish,El Juego de las Amazonas)has been invented in1988by Walter Zamkauskas of Argentina.Although it is very young,it is already considered as being a difficult game:its complexity is between Chess and the game of Go.The main difficulty of the game of Amazons is its complexity:the average number of moves is80,with a branching factor of approximately500,and no more than2176available moves for thefirst player.With this in head,we can clearly see that an exhaustive full tree-search is a difficult task:there are no more than4millions different positions after two moves.Moreover,even if many of theses moves are clearly bad,there are often positions where more than20 moves can be considered as“good”moves,and selecting these moves is a hard task[2].Monte-Carlo(short:MC)is a simple game-independent algorithm which has recently proven to be competitive for the game of Go,especially including a part of Tree Search(different from the classical minimax approach),and knowledge of the game.Now,considering that the game of Go has the same main draw-back as the Amazons,a huge branching factor,and that both these games are territory-based games,thus increasing the similarity,we can expect the Monte-Carlo approach to give good results for the game of Amazons.After a brief description of the rules of the game,section2of this paper focuses on the main core of a Monte-Carlo Amazons program.Section3presents some improvements that can be added to it,with the results discussed in section 4.Section5focuses on our latest improvement to the program,before concluding and discussing future works in section6.2Using Monte-Carlo for the game of AmazonsThe rules of this game(usually called simply“Amazons”)are very simple:it is played on a square board of10x10,sometimes less but this size is the classical one.Each player begins with4Amazons,placed all over the board(left offigure 1).A player move consistsfirst on moving one of his Amazons:it can be moved in every direction in a straight line,on any square accessible from the Amazon, exactly as Queen in Chess.Then,after having moved an Amazon,the player chooses a square accessible from the one on which his Amazon just landed,and shoots an arrow on this square:this square becomes blocked until the end of the game.No further Amazon move or arrow shot can go through it or land on it (right offigure1).Fig.1.Beginning position in Amazons(left)and after one move(right).Each player alternatively makes one of these moves,so a square is blocked on each move.Thefirst player that cannot move any more loses the game,and the score of the game is usually determined as being the number of moves that the other player could have played after it.All Monte-Carlo Amazons programs should include recent developments made to combine MC and Tree-Search(short:TS).A pseudo code is given infigure2.One run(or playout)of the evaluation consists on three steps:–First,after the search tree used in the evaluation has been initialized to the root itself only(line2),a new node of the game tree is selected to be added later to the current search tree(line6),combined with its evaluation.–Then,a completely random game is performed,starting from the given node, until the end of the game(line5).The evaluation given is usually either the score of the game(if available),or the information win/loss/draw.1.Function find_move(position)2.treeSearch_tree=tree(position)3.while(time is remaining)4.Node new_node=search_new_node(treeSearch_tree)5.v=evaluate(new_node)6.treeSearch.add(v,new_node)7.return best_move()8.9.Function search_new_node(tree)10.node=root(tree)11.while(number_unvisited_children(node)!=0)12.node=find_best_children(node)13.node=random_unvisited_children(node)14.return nodeFig.2.Pseudo-code for Monte-Carlo using tree-search.–Finally,the given node is added to the current search tree:the evalua-tion given is stored in all the nodes that have been visited in the functionsearch new node and in the new node.The search function is the main core of the tree-search Monte-Carlo model.In previous versions of MC,it always returned one of the children node of the root,either chosen randomly,or so that each node is visited the same numberof time[1],or chosen by some knowledge[4].Following the algorithm UCT[7],our program visits the current search tree by exploring nodes that maximizesthe score given by the formula:Score(node(i))=Evaluation(node(i))+C*ln(nbV isits(parent(node(i)))nbV isits(node(i))(1)Thefirst term of formula(1),the evaluation,is usually given either by the expected win/loss ratio of the node,or the expected average score.The number of visits of one node is the number of timeit was selected in the process of searching for a new node(line9offigure2).Both these values(number of visits and average evaluation)are updated after each playout(line6).The second term allows nodes not to be forgotten during the process,raising if the node is not visited while his parent is.Finally,the factor C has to be tuned experimentally.In thefield of Amazons playing,some features need to be discussed:–Each move consists of two actions(Amazon movement+arrow shot),and usually,one node results from a combination of these actions.However,we can also choose to split every action decision in two:in every random game, an Amazon movement is selected at random,and then an arrow shot from this Amazon,not a combination.Also,we can do the same with the searchtree used by UCT,by not using a usual two levels tree,but a four levels one.On thefirst level are the positions obtained after an Amazon movement,on the second the positions obtained after an arrow shot from the Amazon just moved,and similarly for the third and fourth level,with movements and shot from the other player.This changes should allows us basically to run more playouts,and thus to increase in a very simple way the level of the program,because it does not have to compute every move at each position in the random games.–The evaluation has also to be chosen accordingly to the game which is played.A Win-Loss ratio is usually used for MC+TS in game programming[6],but we could also use an average score,or a combination of both.Tests and discussion of these three features(splitting in the random games, splitting in the tree used by UCT and the evaluation)are given in section4.3Improving the rand gamesOur program(Campya)includes the algorithm presented in section2to choose a move.However,at this state,it lacks seriously of some knowledge of the game, and can easily be defeated by a fair human player.Improvements to a Monte-Carlo with Tree-search program can basically be made at three levels:–In the random games,by adding knowledge to it[3]–In the tree-search part,changing the behaviour of UCT or using other tech-niques[5]–At thefinal decision of the move,for example by pruning moves[4]Improving the random games has already proven to be a good way to im-prove the level of a Monte-Carlo program,by adding knowledge to create pseudo-random games.Moves can be chosen more or less frequently according to pat-terns or to simple rules,as we did here for the game of Amazons.We decided to focus on this method to improve the level of Campya.3.1The liberty ruleMobility is an important factor in Amazons.Having an Amazon which is com-pletely or almost completely enclosed at the beginning of the game is likefighting at3against4for the remaining game.We defined the number of liberties of an Amazon as the number of empty squares adjacent to this Amazon,using a con-cept similar to the game of Go.Then,we added the following rules to the random games:–Any Amazon with1or2liberties has to be moved immediately–Any opponent’s Amazon with1or2liberties should be enclosed if possible Two liberties is a critical number:if they are adjacent,one can move an Amazon on one of these,and shoot an arrow on the other one.This way,we punish bad moves,and try to avoid being punished.3.2Pruning moves from enclosed AmazonsWe say that an Amazon is isolated if any of the squares accessible from this Amazon in any number of moves cannot be accessed by opponent’s Amazons. An isolated Amazon is inside a territory and should not be moved,except in situations of Zugzwang.Since this concept is way beyond the simplicity we search in the random games,we added the following rule to the random games:–Any isolated Amazon should not be moved if possibleObviously,if all Amazons are isolated,one has to be moved.But in this case,the game should be considered to be over:no player can now access to its opponent territory.Tests and discussion of these two features will be discussed in section4.4Experiments and resultsDue to the absence of popular Amazons servers and game protocol,testing of these improvements has been realised through self-play games against a standard version of our program.Each test consisted of runs of250games with3minutes per player,each player playing half of the time asfirst player.Some games were also played by hand against an other Amazons program:Invader[9],with an equivalent30sec/move time setting for both programs.The standard version used for testing,later called Vanilla Campya,uses a light version of the algorithm presented in section2:Monte-Carlo without Tree-Search.Moves in the random games are split,and the evaluation of the games is given by their score.The results of the game-independent features are shown in table1,and those of game-dependent features(liberty rule and pruning isolated Amazons moves)in table2.Each feature or set of features was added to Vanilla Campya to produce a new version of the program,and then tested against the Vanilla version.Table1.Results of Campya integrating some features against a standard MC version.Feature tested Win ratioNot splitting moves in the random games20,4%Evaluation by Win-Loss ratio43,6%Evaluation by combining score and Win-Loss ratio63,5%Using tree-search81,6%Using tree-search and combined evaluation89,2%(1)Using tree-search,combined evaluation,and splitting moves in the tree-search96% The results obtained by the version not splitting moves in the random games are conform to our intuition,with only20%of win against the Vanilla version.Further tests(not included here)showed us also that,even with an equivalent number of playouts,the non-splitting version was behind.The results obtained using different evaluations are a bit more surprising:it seems that,for the game of Amazons,evaluation with a Win-Loss ratio is not the key,and that the score alone is not sufficient either.Finally,the results obtained by integrating Tree-Search are not surprising:a Tree-Search based version of Campya is way above the others.Also,splitting the moves in the tree used by this version seems really effective,and not only because of the higher number of random games that Campya could launch:as for splitting moves in the random games,even with an equivalent number of playouts,the non-splitting version was behind.Table2.Results of Campya integrating some features against a standard MC+TS version.Version(1)+pruning92,8%Version(1)+pruning+liberty rule96,4%Version(1)in table1was used as a basis to test the knowledge-based im-provements(liberty and pruning).Results obtained using them do not show a significant difference with the results given in table1.However,considering that:–Adding this form of external knowledge slowed the playouts,and thus did not permit us to launch as many as without,and–The knowledge of liberties is especially useful against players who know how to exploit it,so not against Vanilla Campya,we can still consider this integration of Amazons-knowledge in Campya as be-ing an improvement.Moreover,thefirst few games played against Invader were terrific in the opening,because Campya had no knowledge of Amazon imprison-ment.Adding it permitted our program to perform better games against Invader. 5Integrating the accessibility in CampyaAt this point,Campya still lacked an important knowledge,used a lot in other programs.The accessibility to a square by a player can be defined as the min-imum number of Amazon move a player has to perform to place an Amazon on this square.This number is set to infinite if the player has no access to the square.It is used by many programs,such as Amazong[8]Accessibility is territory-related:if a player has a better accessibility to a square than his opponent,this square has a higher chance to be part of this player’s territory at the end of the game than to be part of his opponent’s. This goes even more true as the game reaches its cking this knowledge,our program could not understand the idea of potential territory,and thus was mostly crushed in the opening and middle game by other programs or good human players.Integrating this knowledge in a Monte-Carlo architecture cannot be done easily:it requires lots of computations,and thus slows down the speed of the random games too much to be useful.However,it can be integrated as a new evaluation,which led us to this:–random games are not any more evaluated by their a combination score+ win/loss at the end of the game,but by the estimated score of the game after afixed number of pliesTests of this new feature have been done the same way as presented in section 4,with the difference that the reference version was not VanIlla-Campya any more,but the version(1)of table1.Results are shown in table3.Table3.Results of Campya integrating accessibility-based evaluation,in number of games(average score).Using the accessibility heuristic as a score evaluator allowed Campya to per-form much better results,having more than80%of win against its previous best version and losses by only a few points,any feature similar except for the evalu-ation.The games played against Invader also showed us that its level increased and that it was now able to understand the concept of potential territory,still not being able,in its actual version,to perform better than Invader,but showing lots of potential.6Conclusion and future worksWe presented in this paper how to best integrate the Monte-Carlo method for the purpose of obtaining a good Amazons playing program.We discussed the main features,and proposed forcing moves by the liberty rule and pruning useless moves as ways to improve the level of the play.Finally,we proposed combining MC and an evaluation function as being the best way to obtain a good level program,thus using MC to explore a game tree and not any more to create an evaluation function.Further works mostly includefinding other light forms of knowledge to im-prove the random plays,specifically related to the endgame and the opening. Also,we would like tofind the best way to combine Monte-Carlo tree-search and en evaluation function for the game of Amazons.AcknowledgementsThe picture of the Amazons boards in section2comes from the website References1.Bruce Abramson(1993),Expected-outcome:a general model of static evaluation,IEEE transactions on pattern analysis and machine intelligence12:22,182-193. 2.Henry Avetisyan,Richard J.Lorentz(2002),Selective search in an Amazons pro-gram,Computers and Games2002:123-141.3.Bruno Bouzy(2005),Associating knowledge and Monte Carlo approaches withina go program,Information Sciences,175(4):247257,November2005.4.Bruno Bouzy(2005),Move Pruning Techniques for Monte-Carlo Go,11th Advancesin Computer Game conference,Taipei2005.5.Remi Coulom(2006),Efficient Selectivity and Backup operators in Monte-CarloTree-Search,Proceedings of the5th International Conference on Computers and Games,Turin,Italy,2006.6.Sylvain Gelly,Yizao Wang,Remi Munos,Olivier Teytaud,Modifications of UCTwith Patterns in Monte-Carlo Go,Technical Report6062,INRIA7.Levente Kocsis,Csaba Szepesvari(2006),Bandit based Monte-Carlo planning,5thEuropean Conference on Machine Learning(ECML),Pisa,Italy,Pages282-293, September2006.8.Jens Lieberum(2005),An evaluation function for the game of Amazons Theoreticalcomputer science349,230-244,Elsevier,2005.9.Richard J.Lorentz,Invader,/lorentz/amazon.htm10.Martin Muller,Theodore Tegos(2001),Experiments in Computer Amazons,inR.J.Nowakowski editor,More games of No Chance,Cambridge University Press, 2001,243-260。

相关文档
最新文档