Cc kin thc c s ca phng php Monte Carlo

ng Nguyn Phng
dnphuong1984@gmail.com
Ngy 20 thng 5 nm 2014
Mc lc
1 M u 2
2 Lch s hnh thnh phng php Monte Carlo 3
3 Cc phng php Monte Carlo 5
4 C s ca phng php Monte Carlo 6
5 S ngu nhin 7
5.1 Cc loi s ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
5.2 Nhng iu cn lu khi m phng s ngu nhin . . . . . . . . . . . . . . . . . 7
5.3 Phng php to s ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
6 Phn b xc sut 8
6.1 Bin ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
6.2 Hm mt xc sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
6.3 Moment thng k . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
6.4 Lut s ln . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
6.5 nh l gii hn trung tm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
7 Ly mu phn b 13
7.1 Phn b mu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
7.2 Cc phng php ly mu vi phn b xc sut khng ng nht . . . . . . . . . 13
8 c lng Monte Carlo 17
8.1 c lng mu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
8.2 chnh xc ca c lng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
8.3 Khong tin cy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
Ti liu tham kho 19
1
ng Nguyn Phng Ti liu ni b NMTP
1 M u
Gia th k 20, s pht trin ca cc lnh vc quan trng nh vt l ht nhn, nguyn t, cc
nghin cu v v tr, nng lng, ch to cc thit b phc tp i hi phi tin hnh cc bi
ton ln phc tp, khng th gii c bng cc k thut c vo thi by gi. Cng vi s pht
trin my tnh in t lm xut hin kh nng nhn c y cc m t nh lng ca
cc hin tng c nghin cu, v phm vi gii cc bi ton c m rng. Nhng yu t trn
gp phn hnh thnh nn vic thc nghim my tnh (computing experiment).
Thc nghim my tnh thc cht l p dng my tnh gii cc bi ton, nghin cu cc kt
cu hay cc qu trnh, thc hin tnh ton da trn m hnh ton hc v vt l bng cc tnh
ton nh lng ca i tng c nghin cu khi tng i cc tham s. N tri di trn rt
nhiu lnh vc t vt l (computational physics), ha hc (computational chemistry) n sinh
hc (computational biology),...
Mt trong nhng phng php thc nghim my tnh ph bin nht trn th gii hin nay l
phng php Monte Carlo (Monte Carlo experiment hay Monte Carlo method)
1
. y l mt lp
cc thut ton (computationl algorithm) s dng vic ly mu ngu nhin (random sampling)
thu c cc kt qu s (numerical result). Phng php ny thng c s dng gii
quyt cc bi ton c cu hnh phc tp, lin quan n nhiu bin s m khng th d dng gii
quyt c bng cc thut ton tt nh (deterministic algorithm). C th ni hin nay mt
phn ln cc sn phm ca c khoa hc c bn ln ng dng u da vo b ba thc nghim,
l thuyt v Monte Carlo.
Phng php Monte Carlo c gng m hnh ho cc hin tng t nhin thng qua s m phng
trc tip cc l thuyt cn thit da theo yu cu ca h, chng hn nh m phng s tng
tc ca nhng vt th ny vi nhng vt th khc hay l vi mi trng da trn cc mi quan
h vt th vt th v vt th mi trng n gin. Li gii c xc nh bng cch ly
mu ngu nhin ca cc quan h, hay l cc tng tc vi m, cho n khi kt qu hi t. Do
vy, cch thc hin li gii bao gm cc hnh ng hay php tnh c lp i lp li, c th
c thc hin trn my tnh.
Cc l thuyt vi m cung cp ci nhn bn trong v cho php chng ta c th suy lun mt h
v m s hot ng nh th no, phng php Monte Carlo khng th cnh tranh c trong
vic ny. Trong vic khm ph cc tnh cht ca cc h v m, phng php Monte Carlo rt
ging vi mt ngi lm th nghim. Nu khng c s hng dn ca l thuyt, cc qu trnh
khm ph s tr nn rt kh khn v c th b sai lch. Tuy nhin khi bi ton tr nn qu phc
tp, k thut Monte Carlo tr nn thun li trong trng hp bi ton c phc tp tng cao.
iu ny c th c m t nh trong Hnh 1. Chng ta c th d dng thy c khi phc
tp ca bi ton (chng hn nh phc tp ca hnh hc) tng, thi gian tnh ton ca
cc phng php tt nh s tng nhiu hn l phng php Monte Carlo.
Do nhng u im ca mnh, phng php Monte Carlo c ng dng trong rt nhiu lnh
vc khc nhau
Trong khoa hc x hi: phn lung giao thng, nghin cu s pht trin dn s, nghin
cu th trng chng khon,...
Trong khoa hc t nhin: nghin cu s vn chuyn bc x, thit k l phn ng ht nhn,
thit k v kh ht nhn, tnh liu bc x, sc ng hc lng t, nghin cu s chuyn
pha, tnh cc tch phn s (numerical integration),...
1
Cn phn bit phng php Monte Carlo vi thut ton Monte Carlo (Monte Carlo algorithm) vn l mt
thut ton lm vic vi cc bit ngu nhin
2
ng Nguyn Phng Ti liu ni b NMTP
Hnh 1: So snh thi gian gii quyt bi ton ca 2 phng php Monte Carlo v tt nh
2 Lch s hnh thnh phng php Monte Carlo
Tn gi ca phng php ny c t theo tn ca mt thnh ph Monaco, ni ni ting vi
cc sng bc, c l l do phng php ny da vo vic gieo cc s ngu nhin. Tuy nhin vic
gieo s ngu nhin gii cc bi ton xut hin t rt lu ri.
Vo khong th k 18, ngi ta thc hin cc th nghim m trong h nm mt cy kim
trong mt mt cch ngu nhin ln trn mt mt phng c k cc ng thng song song v
suy ra gi tr ca t vic m s im giao nhau gia cc cy kim v cc ng thng
2
.
2
c bit n vi tn gi bi ton cy kim Buffon (Buffons needle problem), trong bi ton ny ngi ta th
ngu nhin cc cy kim c chiu di l ln trn mt mt sn c k cc ng thng song song cch nhau mt on
t (vi l t) v tnh xem xc sut ca cy kim ct ngang ng thng l bao nhiu.
Gi x l khong cch t tm cy kim n ng thng gn nht v l gc to bi cy kim v ng thng,
ta c hm mt xc sut (probability density function) ca x v nh sau
0 x
t
2
:
2
t
dx
0 theta

2
:
2

d
Hm mt xc sut kp hp (joint probability density function)
4
t
dxd
iu kin cy kim ct ngang ng thng x
l
2
sin , xc sut cy kim ct ngang ng thng s thu
c bng cch ly tch phn hm mt xc sut kt hp

/2
0

(l/2) sin
0
4
t
dxd =
2l
t
Ga s ta gieo N kim, trong c n kim ct cc ng thng
n
N
=
2l
t
=
2lN
tn
3
ng Nguyn Phng Ti liu ni b NMTP
Hnh 2: Minh ha bi ton tnh s vi cc cy kim v ng thng song song
Trong khong nhng nm 1930, Enrico Fermi s dng phng php Monte Carlo gii
quyt cc bi ton khuch tn neutron nhng khng xut bn bt c cng trnh no v vn
ny.
Phng php Monte Carlo ch c thc s s dng nh mt cng c nghin cu khi vic ch
to bom nguyn t c nghin cu trong sut thi k chin tranh th gii ln th hai. Cng
vic ny i hi phi c s m phng trc tip cc vn mang tnh xc sut lin quan n s
khuch tn neutron ngu nhin trong vt liu phn hch. Nm 1946, cc nh vt l ti Phng th
nghim Los Alamos, dn u bi Nicholas Metropolis, John von Neumann v Stanislaw Ulam,
xut vic ng dng cc phng php s ngu nhin trong tnh ton vn chuyn neutron
trong cc vt liu phn hch. Do tnh cht b mt ca cng vic, d n ny c t mt
danh Monte Carlo v y cng chnh l tn gi ca phng php ny v sau. Cc tnh ton
Monte Carlo c vit bi John von Neumann v chy trn my tnh in t a mc ch u
tin trn th gii ENIAC (Electronic Numerical Integrator And Computer) (Hnh 3).
Hnh 3: My tnh in t ENIAC c t ti BRL building 328
Cc tng ca phng php ny c pht trin v h thng ha nh vo cc cng trnh ca
Harris v Herman Kahn vo nm 1948. Cng vo khong nm 1948, Fermi, Metropolis, v Ulam
thu c c lng ca phng php Monte Carlo cho tr ring ca phng trnh Schrodinger.
Mi cho n nhng nm 1970, cc l thuyt mi pht trin v phc tp ca tnh ton bt
u cung cp cc tnh ton c chnh xc cao hn, nhng c s l lun thuyt phc cho vic
s dng v pht trin phng php Monte Carlo cho n tn ngy hm nay.
4
ng Nguyn Phng Ti liu ni b NMTP
3 Cc phng php Monte Carlo
Sau hn na th k pht trin t ph, phng php Monte Carlo gn nh c ng dng
rng khp trn mi lnh vc ca khoa hc, cng ngh. Cng vi , rt nhiu bin th ca
phng php ny c xy dng nhm phc v cho cc nhu cu tnh ton c th. Bn thn
tc gi khng th thng k ni c bao nhiu phng php Monte Carlo ang c s dng hin
nay, ch xin nu ra mt s phng php tiu biu
Assorted random model hay self-organized criticality (SOC): l thut ng c dng trong
vt l m t mt h ng hc m c mt im ti hn nh l mt im thu ht. Do vy cc
hot ng v m ca chng c thc hin trn thang khng-thi gian c trng bt bin ca
im ti hn ca mt s chuyn pha (phase transition), nhng trong SOC cc im ny c
dn ra m khng cn cc thng s a vo t dc gi tr chnh xc. N c ng dng
nhiu trong cc lnh vc khc nhau chng hn nh a vt l, v tr hc, sinh hc, sinh thi
hc, kinh t, x hi hc,...
Phng php m phng Monte Carlo trc tip (Direct Simulation Monte Carlo
DSMC): c a ra bi GS. Prof. Graeme Bird, y l phng php s dng k thut m
phng xc sut gii cc phng trnh Boltzman m t cc dng kh long m trong qung
ng t do trung bnh ca phn t c cng bc (hoc ln hn) thang chiu di vt l c trng
ca h.
Phng php Monte Carlo ng lc (Dynamic Monte Carlo DMC): l phng php
m phng cc trng thi ca phn t bng cch so snh t l ca cc bc ring l vi cc s
ngu nhin. Phng php DMC thng dng kho st cc h khng cn bng chng hn nh
cc phn ng, khuych tn,... Phng php ny c ng dng ch yu phn tch cc hot
ng ca cc cht b ht bm trn cc b mt. Phng php DMC rt ging vi phng php
Kinetic Monte Carlo m ta s trnh by phn tip theo.
C rt nhiu phng php thng dng c s dng m phng DMC, gm c First Reaction
Method (FRM) v Random Seelection Method (RSM). D cho FRM v RSM u cho ra cc kt
qu ging nhau vi cng mt m hnh, nhng cc ti nguyn my tnh li khc nhau ph thuc
vo h ng dng.
Phng php Monte Carlo ng hc (Kinetic Monte Carlo KMC): l mt phng
php Monte Carlo da trn s m phng my tnh m phng s tin trin theo thi gian ca
mt vi qu trnh xy ra trong t nhin, in hnh l cc qu trnh m chng xut hin vi mt
t l c cho trc. Vic hiu r cc t l ny l rt quan trng bi v chng l d liu u vo
cho thut ton KMC, t bn thn phng php khng th d on chng.
Phng php KMC cng rt ging vi phng php DMC, s khc bit chnh gia chng dng
nh nm ch thut ng v lnh vc s dng: KMC c s dng ch yu trong vt l cn
DMC th c s dng ch yu trong ho hc.
Phng php Monte Carlo lng t (Quantum Monte Carlo QMC): l phng php
m phng cc h lng t vi mc ch gii quyt cc bi ton nhiu vt th (many-body). QMC
dng phng php Monte Carlo bng cch ny hay cch khc tnh ton cc tch phn nhiu
chiu. QMC cho php m t mt cch trc tip cc hiu ng nhiu vt th trong hm sng, vi
bt nh c th c gim vi thi gian m phng ko di.
5
ng Nguyn Phng Ti liu ni b NMTP
Phng php Quasi-Monte Carlo (Quasi-Monte Carlo): l mt phng php tnh ton
mt tch phn (hay i khi l mt bi ton) m da trn c s l cc dy s c s nht qun
thp. N tri ngc vi phng php Monte Carlo thng thng, c da trn cc dy s gi
ngu nhin.
4 C s ca phng php Monte Carlo
Phng php Monte Carlo c xy dng da trn nn tng
Cc s ngu nhin (random numbers): y l nn tng quan trng, gp phn hnh thnh
nn thng hiu ca phng php. Cc s ngu nhin khng ch c s dng trong vic
m phng li cc hin tng ngu nhin xy ra trong thc t m cn c s dng ly
mu ngu nhin ca mt phn b no , chng hn nh trong tnh ton cc tch phn
s (numerical integration).
Lut s ln (law of large numbers): lut ny m bo rng khi ta chn ngu nhin cc
gi tr (mu th) trong mt dy cc gi tr (qun th), kch thc dy mu th cng ln
th cc c trng thng k (trung bnh, phng sai,...) ca mu th cng gn vi cc
c trng thng k ca qun th. Lut s ln rt quan trng i vi phng php Monte
Carlo v n m bo cho s n nh ca cc gi tr trung bnh ca cc bin ngu nhin
khi s php th ln.
nh l gii hn trung tm (central limit theorem): nh l ny pht biu rng di mt
s iu kin c th, trung bnh s hc ca mt lng ln cc php lp ca cc bin
ngu nhin c lp (independent random variables) s c xp x theo phn b chun
(normal distrbution). Do phng php Monte Carlo l mt chui cc php th c lp
li nn nh l gii hn trung tm s gip chng ta d dng xp x c trung bnh v
phng sai ca cc kt qu thu c t phng php.
Cc thnh phn chnh ca phng php m phng Monte Carlo (Hnh 4) gm c
Hm mt xc sut (probability density function PDF): mt h vt l (hay ton hc)
phi c m t bng mt b cc PDF.
Ngun pht s ngu nhin (random number generator RNG): mt ngun pht cc s
ngu nhin ng nht phn b trong khong n v.
Quy lut ly mu (sampling rule): m t vic ly mu t mt hm phn b c th.
Ghi nhn (scoring hay tallying): d liu u ra phi c tch lu trong cc khong gi
tr ca i lng cn quan tm.
c lng sai s (error estimation): c lng sai s thng k (phng sai) theo s php
th v theo i lng quan tm.
Cc k thut gim phng sai (variance reduction technique): cc phng php nhm gim
phng sai ca p s c c lng gim thi gian tnh ton ca m phng Monte
Carlo.
Song song ho (parallelization) v vector ho (vectorization): cc thut ton cho php
phng php Monte Carlo c thc thi mt cch hiu qu trn mt cu trc my tnh
hiu nng cao (high-performance).
6
ng Nguyn Phng Ti liu ni b NMTP
Hnh 4: Nguyn tc hot ng ca phng php Monte Carlo
5 S ngu nhin
Trong phng php m phng Monte Carlo, chng ta khng th no thiu c cc s ngu
nhin. Cc s ngu nhin c mt trong cc hin tng t nhin nh nhiu lon in t, phn
r phng x,... gii mt bi ton bng phng php Monte Carlo iu quan trng nht l
chng ta cn to ra cc s ngu nhin phn b u (uniform distribution) trn khong (0,1).
5.1 Cc loi s ngu nhin
C 3 loi s ngu nhin chnh
S ngu nhin thc (real random number): cc hin tng ngu nhin trong t nhin.
S gi ngu nhin (pseudo-random number): cc dy s xc nh m n vt qua c
cc kim tra v tnh ngu nhin.
S gn ngu nhin (quasi-random number): cc im c s phn b tt (c s khng nht
qun thp).
5.2 Nhng iu cn lu khi m phng s ngu nhin
C hai iu chng ta cn lu khi m phng cc s ngu nhin
My tnh khng th to ra cc dy s ngu nhin tht s m ch l cc s gi ngu nhin.
Bn thn cc s khng phi l ngu nhin m ch c dy s mi c th c xem l ngu
nhin
Mt dy s ngu nhin tt phi hi t y cc yu t sau y
Chu k lp li phi di tc l vic gieo s ngu nhin phi to ra c nhiu s trc khi
lp li dy s c ca n cho khng c phn no ca dy b trng trong tnh ton.
Cc s c to ra phi hng ti phn b u, tc l mt dy s bt k gm vi trm s
phi hng ti phn b ng nht trong ton vng kho st.
Cc s khng tng quan vi nhau, tc l cc s trong dy phi c lp v mt thng k
vi cc s trc n.
Thut ton phi truy xut nhanh, tc l thi gian my tnh to ra s ngu nhin phi nh
7
ng Nguyn Phng Ti liu ni b NMTP
Cc s gi ngu nhin trong phng php Monte Carlo ch cn t ra mc ngu nhin, ngha
l tun theo phn b u hay theo phn b nh trc, khi s lng ca chng ln.
5.3 Phng php to s ngu nhin
to c mt dy s ngu nhin, chng ta c th dng nhiu phng php khc nhau.
y ti xin trnh by mt phng php c dng ph bin nht. Phng php ny c
s dng trong nhiu ngn ng lp trnh, chng hn nh C, Fortran,... chnh l phng php
ng d tuyn tnh (linear congruential generator). Thut ton ca phng php ny nh sau
x
0
= s gieo ban u, l s nguyn l < M (1)
x
n
= ax
n1
+c mod M (2)

n
= x
n
/M (3)
y a v c l cc s nguyn v M thng l mt s nguyn c gi tr ln, s gieo ban u x
0
c th c t bi ngi dng trong qu trnh tnh ton.
Thc s y khng phi l mt thut ton to s ngu nhin tt nht nhng u im ca thut
ton ny l n gin, d s dng, tnh ton nhanh v dy s ngu nhin do n to ra l kh tt.
Ta c th thy rng trong dy s c to ra bi phng php ny mi s ch c th xut hin
duy nht mt ln trc khi dy b lp li. Do chu k ca phng php ng d tuyn tnh
(chiu di ca dy s cho n khi s u tin b lp li) M. c ngha l trong trng hp
tt nht th x
n
s ly tt c cc gi tr c trong on [0, M 1]. i vi phng php ng d
tuyn tnh th chu k cc i s ph thuc vo di k t ca my tnh. V d: chu k ln nht
i vi my 16 bit c chnh xc n (single precision) l 2
16
= 65536 i v vi chnh xc
kp (double precision) l 2
32
= 4.29 10
9
.
Ngoi ra cn mt s thut ton khc to dy s ngu nhin
Shift register: y
n
= y
ns
+y
nr
mod 2 vi r > s
Additive lagged Fibonacci : z
n
= z
ns
+z
nr
mod 2
k
vi r > s
Phng php kt hp (combined): w
n
= y
n
+z
n
mod p
Multiplicative lagged Fibonacci : x
n
= x
ns
x
nr
mod 2
k
vi r > s
Phng php ng d nghch o ngm (implicit inversive congruential ): x
n
= ax
n1
+
c mod M
Phng php ng d nghch o tng minh (explicit inversive congruential ): x
n
=
a n +c mod M
6 Phn b xc sut
6.1 Bin ngu nhin
Cc bin ngu nhin (random variable hay stochastic variable) l cc bin m gi tr m n nhn
c mt cch ngu nhin. Mt bin ngu nhin c th bao gm mt tp hp cc gi tr m
mi gi tr i km vi mt xc sut (probability) trong trng hp gi tr ri rc hoc mt hm
mt xc sut (probability density function) trong trng hp gi tr lin tc (xem Hnh 5).
Gi s ta tin hnh php o mt bin ngu nhin x (trong thc nghim) hay gieo ngu nhin
gi tr ca bin ny (trong phng php Monte Carlo) N ln, ta s thu c mt tp hp cc
gi tr ca bin nh sau {x
1
, x
2
, . . . , x
n
}.
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ng Nguyn Phng Ti liu ni b NMTP
Hnh 5: Minh ha phn b xc sut ca bin ri rc v lin tc
Gi tr k vng (expected value hay expectation) hay cn gi l gi tr trung bnh (mean) ca
bin x (thng c k hiu l ) chnh l gi tr m ta k vng s thu c khi lp li N ln
php o vi N tin n v cc. Hay ni mt cch khc, gi tr k vng chnh l trung bnh
c trng s (weight average) ca tt c cc gi tr kh d (possible values) ca bin x, trng s
c dng y chnh l xc sut f
i
tng ng vi cc gi tr ca bin.
E(x) =
N

i=1
x
i
f
i
N

i=1
f
i
(4)
Phng sai (variance) c dng nh gi mc phn tn ca tp hp gi tr thu c,
gi tr ca phng sai bng 0 c ngha l tt c cc gi tr ca tp hp l ng nht. Phng
sai thng c k hiu l
2
.
V ar(x) = E
_
(x E(x))
2
_
=
N

i=1
(x
i
)
2
f
i
N

i=1
f
i
= E(x
2
) [E(x)]
2
(5)
lch chun (standard deviation) k hiu l cn bc hai ca phng sai, c cng th nguyn
vi gi tr ca bin x nn thng c dng km vi gi tr trung bnh biu din kt qu thu
c.
6.2 Hm mt xc sut
Hm mt xc sut (Probability Density Function PDF)
3
ca mt bin ngu nhin lin tc
l mt hm m t kh nng (xc sut) nhn mt gi tr ca bin .
Hm mt xc sut c xem nh l chun ha khi
+
_

f(x)dx = 1 (6)
Hm mt tch ly (cumulative density function hay cumulative distribution function CDF)
3
i khi cn c gi l hm phn b xc sut (probability distribution function) hay hm xc sut (probability
function), tuy nhin khng c quy nh no thng nht cho cc tn gi. Hm xc sut i khi cn c dng
ch hm mt tch ly (cumulative distribution function)
9
ng Nguyn Phng Ti liu ni b NMTP
c tnh nh l tch phn ca hm mt xc sut (Hnh 6)
F(x) =
x
_

f(t)dt (7)
Hnh 6: So snh hai hm PDF v CDF, gi tr ca hm CDF ti v tr x chnh l tch phn ca
hm PDF t n x
Trong trng hp ta c hm g(x) vi x l bin ngu nhin vi mt f(x), gi tr trung bnh
ca hm g(x) s c tnh theo cng thc
E[g(x)] =
+
_

g(x)f(x)dx E[g(x)] =
N

k=1
g
k
f
k
(8)
6.3 Moment thng k
Cc moment thng k (statistical moment) l cc i lng thng c s dng nh gi
dng (shape) ca mt phn b chng hn nh v tr (location), mc phn tn (dipersion),...
Moment thng k bc n ca mt phn b c nh ngha theo cng thc
+
_

(x )
n
f(x)dx
N

k=1
(x )
n
f
k
(9)
Moment bc 1 dng nh gi lch ca phn b ra khi k vng ca phn b (). Trong
trng hp phn b l tng, gi tr moment ny c gi tr bng 0. Trong thc t, ngi ta cng
10
ng Nguyn Phng Ti liu ni b NMTP
xem gi tr trung bnh chnh l moment bc 1 ca phn b
4
.
+
_

(x )f(x)dx
N

k=1
(x )f
k
(10)
Moment bc 2 c s dng nh gi phn tn ca phn b. Trong trng hp phn
b ch c 1 gi tr duy nht, moment ny c gi tr bng 0. Trong thc t, ngi ta xem phng
sai (
2
) l moment bc 2 ca phn b
5
.
+
_

(x )
2
f(x)dx
N

k=1
(x )
2
f
k
(11)
Moment bc 3 c dng nh gi i xng (symmetry) ca phn b. Nu phn b
l hon ton i xng, moment ny c gi tr bng 0. Nu phn b c ui di v theo chiu
dng ca trc ta , moment ny s c gi tr dng, trong trng hp ngc li s c gi tr
m (xem Hnh 7). Trong thc t, ngi ta thng hay s dng moment chun ha (normalised
moment hay standardised moment)
6
nh gi, moment chun ha bc 3 ca phn b c
gi l skewness.
+
_

(x )
3
f(x)dx

3
N

k=1
(x )
3
f
k

3
(12)
Moment bc 4 c dng nh gi phng (flatness) ca phn b. Tng t nh
skewness, moment chun ha bc 4 (kurtosis) thng c s dng
+
_

(x )
4
f(x)dx

4
N

k=1
(x )
4
f
k

4
(13)
Phn b c dng phng c gi l platykurtic, cn phn b c nh nhn c gi l leptokurtic,
phn b chun (normal distribution) c kurtosis bng 3 v c xem l chun phn bit
phng ca cc phn b (xem Hnh 7).
6.4 Lut s ln
Lut s ln (Law of Large Numbers LLN) m t kt qu thu c khi thc hin php o mt
s ln ln, theo gi tr trung bnh ca cc kt qu thu c s cng gn vi gi tr k vng
khi s php o cng ln (v d trong Hnh 8). Lut s ln c vai tr quan trng v n m bo
cho s n nh v mt lu di ca gi tr trung bnh ca cc s kin ngu nhin.
4
c gi l moment th (raw moment) dng nh gi lch ca tr trung bnh ra khi gi tr 0. Khi
cng thc tnh moment bc 1 c vit li
+

xf(x)dx
5
Cc moment loi ny c gi l moment trung tm (central moment) dng nh gi lch khi gi tr
trung bnh, khc vi moment th dng nh gi lch khi gi tr 0.
6
c tnh nh l t s gia moment trung tm v lch chun ca phn b.
11
ng Nguyn Phng Ti liu ni b NMTP
Hnh 7: Minh ha skewness v kurtosis
Hnh 8: Minh ha Lut s ln khi thc hin th nghim tung ng xu, th biu din t l phn
trm xut hin mt nga (head) nhiu hn mt sp (tail ) theo s ln tung
6.5 nh l gii hn trung tm
Theo nh l gii hn trung tm (Central Limit Theorem CLT), tng ca cc bin ngu nhin
c lp (independent random variable) v phn phi ng nht (identically distribution) theo
cng mt phn phi xc sut, s hi t v mt bin ngu nhin no (Hnh 9).
Gi s ta c N tp hp cc bin ngu nhin c lp X
i
(X
1
, X
2
, ..., X
N
), mi tp hp u c
phn b tng minh (arbitrary) vi xc sut P(x
1
, x
2
, ..., x
N
) c tr trung bnh
i
, phng sai
hu hn
2
i
tng ng. Khi i lng c dng chun ha
X
norm
=
N

i=1
x
i

i=1

i=1

2
i
(14)
s c mt hm phn b tch ly gii hn xp x theo phn b chun.
Mt cch n gin hn, nh l gii hn trung tm c th hiu nh l phn b ca vic ly mu
12
ng Nguyn Phng Ti liu ni b NMTP
Hnh 9: Minh ha nh l gii hn trung tm, trung bnh ca cc phn b t X
1
n X
5
s c
dng phn b chun
ngu nhin s tin v phn b chun khi kch c mu c tng ln, d cho phn b thc hay
cn gi l phn b qun th (population) ca bin khng phi l phn b chun.
Lu : in kin ca nh l gii hn trung tm l c tr trung bnh v phng sai ca phn
b phi tn ti hu hn.
7 Ly mu phn b
7.1 Phn b mu
Phn b mu (sampling distribution) hay cn gi l phn b mu hu hn (finite-sample distri-
bution) l phn b xc sut thng k ca cc gi tr trong mu ngu nhin c ly ra t mt
phn b qun th. Phn b mu ph thuc vo cc yu t nh phn b ca bn thn qun th,
cch thc ly mu, kch c mu,...
Gi s ta c mt qun th c phn b chun vi tr trung bnh v phng sai
2
, c k hiu
l N(,
2
). Sau chng ta ly cc mu c kch thc n cho trc t qun th ny v tnh
ton cc gi tr trung bnh x
i
cho mi mu c ly, cc gi tr ny c gi l cc gi tr trung
bnh ca mu (sample mean) v phn b ca cc gi tr trung bnh ny c gi l phn b
ca cc gi tr trung bnh mu. Phn b ny s tun theo phn b chun N(,
2
/n)
7
do phn
b qun th l phn b chun (mc d theo nh lut gii hn trung tm, nu kch thc mu
n ln, phn b trung bnh mu vn c th c xp x theo phn b chun d cho phn
b qun th c l phn b chun hay khng). Trong trng hp kch thc mu nh, phn b
trung bnh mu c cho trong Bng 1.
lch chun ca phn b trung bnh mu c gi l sai s chun (standard error)
8
, trong
trng hp cc mu c lp vi nhau ta c

x
=

n
(15)
vi l lch chun ca qun th v n l kch c mu.
7.2 Cc phng php ly mu vi phn b xc sut khng ng nht
Thng thng cc php gieo ngu nhin ly mu trong Monte Carlo u l cc php ly mu
ng nht (uniform sampling), cc gi tr c ly mu vi xc sut nh nhau. Tuy nhin, trong
rt nhiu trng hp tnh ton Monte Carlo, ta cn phi ly mu t mt bin c hm mt
7
lu phn b chun ny khc vi phn b chun ca qun th
8
cn phn bit vi lch chun ca qun th vn c gi vi tn standard deviation
13
ng Nguyn Phng Ti liu ni b NMTP
Bng 1: Mt s v d phn b mu ngu nhin c ly t qun th
Phn b qun th Phn b mu
Normal(,
2
)

X Normal
_
,

2
n
_
Bernoulli(p) n

X Binomial(n, p)
Normal(
1
,
2
1
) v Normal(
2
,
2
2
)

X
1

X
2
Normal
_

2
,

2
1
n
+

2
2
n
_
xc sut khng ng nht (non-uniform) chng hn nh ly mu bin x trong khong [a, b] vi
hm mt f(x) c phn b nh trong Hnh 5. C rt nhiu phng php thc hin vic
ly mu ny, di y l mt s phng php thng dng nht
Phng php bin i (transformation method) hay cn gi l phng php bin i ngc
(inverse transform method). Phng php ny thng c p dng trong nhng trng hp
hm phn b f(x) c dng n gin, ta c th thc hin mt php bin i x(t) v mt phn
b t ng nht, ta c cng thc bo ton xc sut
P(x)dx = P(t)dt (16)
vi P(x) = f(x) v P(t) = 1 (phn b ng nht) ta thu c
f(x) =

dt
dx

= |t

(x)| (17)
V d: Ly mu bin ngu nhin x c hm mt xc sut f(x) = ae
ax
trong khong [0, )
Ta c

dt
dx

= f(x) = ae
ax
nn t = e
ax
hay x =
ln(t)
a
Khi x = 0 th t = 1 v x = th t = 0, do ta c th thu c bin x bng cch gieo ngu
nhin bin t trong khong (0, 1) v p dng cng thc
x =
ln(1 t)
a
Phng php chp nhn loi b (acceptance-rejection method) thng c s dng
trong nhng trng hp hm f(x) c dng phc tp, khng th d dng ly mu c bng cc
phng php khc nh phng php bin i. Trong phng php ny, ta s i tm mt hm
phn b cng c (instrumental distribution) g(x) c th d dng ly mu bng cc phng php
khc nh ly mu phn b ng u hay phng php bin i.
Gi C l chn trn ca gi tr cc i t s f(x)/g(x)
C max
_
f(x)
g(x)
_
(18)
14
ng Nguyn Phng Ti liu ni b NMTP
Hm f(x) s c ly mu bng cch ly mu hm g(x) v gi li s im ly mu vi xc sut
P =
f(x)
C g(x)
(19)
Hnh 10: Minh ha phng php chp nhn loi b. ng mu xanh l phn b f(x) m ta
mun ly mu, ng gch on l phn b Cg(x), ng mu v mu xanh l l xc sut
loi b v chp nhn gi tr gieo ngu nhin thu c
Cch thc tin hnh phng php ny nh sau
1. Gieo mt cp s ngu nhin (x
i
, y
i
) trong khong x
min
< x < x
max
v 0 < y < Cg(x).
2. Nu y f(x) th chp nhn gi tr x, v loi b trong trng hp ngc li
3. Lp li cho n khi thu c N gi tr x
Nhc im ca phng php ny l khng phi lc no ta cng c th xc nh c gi tr
ca C mt cch d dng, v vic la chn gi tr C s quyt nh hiu sut ly mu ca phng
php cao hay thp.
Ly mu theo trng s (importance sampling) trong k thut ny, ta s i ly mu t mt
phn b khc thay v ly mu trc tip t phn b cn quan tm. K thut ny thng c
xem l mt k thut gim phng sai trong ly mu Monte Carlo.
Ta bit rng k vng ca bin x c tnh theo cng thc
E(x) =
_
xf(x)dx (20)
Thay v ly mu bin x t phn b f(x), ta s i ly mu theo mt phn b g(x) n gin hn,
khi k vng ca x c tnh li theo cng thc
E(x) =
_
x
f(x)
g(x)
g(x)dx (21)
iu ny tng ng vi vic ly mu bin x.w(x) theo phn b g(x) vi w(x) = f(x)/g(x)
c gi l trng s ly mu (importance sampling weight).
15
ng Nguyn Phng Ti liu ni b NMTP
Phng php Metropolis-Hastings (Metropolis-Hastings method) hay cn c gi l
phng php Markov Chain Monte Carlo (MCMC), thng c p dng cho vic ly mu t cc
phn b nhiu chiu (multi-dimensional distribution). Mc ch ca phng php Metropolis-
Hastings l to ra mt tp hp cc trng thi (gi tr) da trn hm mt xc sut f(x)
cho trc . lm c iu ny chng ta s to ra mt qu trnh Markov (Markov process)
m qu trnh ny s tin dn v mt phn b cn bng (stationary distribution) (x).
Mt chui Markov (Markov chain) l mt chui ngu nhin cc gi tr x
1
, x
2
, ..., x
N
vi c im
l xc sut ca gi tr sau (x

) ch ph thuc vo gi tr trc n (x) v c c trng bi xc

sut dch chuyn (transition probability) P(x x

). Phn b ny s tin v phn b cn bng

khi c hai iu kin sau c tha
Phn b cn bng (x) phi tn ti. iu kin ca n c xy dng da trn nguyn
l cn bng chi tit (detailed balance), i hi rng chuyn dch x x

l c th nghch
o c (chuyn dch theo c hai chiu)
P(x)P(x x

) = P(x

)P(x

x) (22)
Phn b cn bng l duy nht (unique), iu ny c m bo bi tnh cht ca qu
trnh Markov
9
.
Ta c th vit li cng thc (22)
P(x x

)
P(x

x)
=
P(x

)
P(x)
(23)
Gi phn b xut (proposal distribution) g(x x

) l xc sut iu kin (conditional proba-

bility) thu c x

t x cho trc; v phn b chp nhn (acceptance distribution) A(x x

)
l xc sut iu kin chp nhn x

. Xc sut dch chuyn l tch ca hai xc sut ny

P(x x

) = g(x x

)A(x x

) (24)
Thay (24) vo (23) ta c
A(x x

)
A(x

x)
=
P(x

)
P(x)
g(x

x)
g(x x

)
(25)
Bc k tip l chn gi tr chp nhn ph hp vi nguyn l cn bng chi tit, thng thng
ngi ta chn
A(x x

) = min
_
1,
P(x

)
P(x)
g(x

x)
g(x x

)
_
(26)
ngha l ta s chn dch chuyn x x

nu A(x x

) ln hn 1 v loi b n nu nh hn 1.
Cc bc tin hnh nh sau
1. Chn ngu nhin 1 gi tr x ban u
2. Chn ngu nhin gi tr x

tng ng vi phn b g(x x

)
10
3. Chp nhn gi tr mi x

da vo gi tr ca A(x x

)
9
c gi l ergodicity i hi rng mi trng thi phi (1)phi tun hon (aperiodic), h thng khng th tr
li trng thi c trong mt khong c nh; (2)c kh nng quay tr li, k vng ca s bc dch chuyn tr
li trng thi c phi l hu hn
10
Cn phi lu mt iu l hm phn b g(x x

) l do ngi dng t la chn vo iu chnh ty thuc

vo tng trng hp c th.
16
ng Nguyn Phng Ti liu ni b NMTP
4. Lp li bc 2 cho n khi N gi tr ca x c to ra
Cc phng php khc ngoi nhng phng php va k trn, ta cng cn nhiu cch ly
mu khc nh
i vi cc phn b ri rc, ta c cc phng php ly mu tuyn tnh (linear sampling),
theo cu trc cy (decision tree), phng php mng (array method),...
i vi cc phn b lin tc, ta c thut ton Ziggurat (Ziggurat algorithm), Gibbs (Gibbs
sampling), HMC (Hamiltonian Monte Carlo),...
8 c lng Monte Carlo
8.1 c lng mu
Trung bnh mu (sample mean) l gi tr c lng ca trung bnh qun th (population
mean) da trn mt mu c chn ngu nhin t qun th ny. c lng trung bnh
ca mu ta s dng cng thc
x =
1
N
N

i=1
x
i
(27)
vi x
i
l cc gi tr trong mu v N l kch thc mu
11
.
Gi tr x ny s phn b quanh gi tr trung bnh ca qun th vi

x
= E( x) = (28)

2
x
= V ar( x) =

2
N
(29)
D cho phn b ca x l ng nht vi gi tr trung bnh ca qun th nhng phng sai s
nh hn nhiu nu kch thc ca mu l ln.
Phng sai mu (sample variance) thng c k hiu l S
2
hay S
2
N
c xc nh bi
cng thc
12
S
2
=
1
N
N

i=1
(x
i
x)
2
(30)
Nu ta xem x nh l mt c lng ca trung bnh qun th vi
E( x) = (31)
th S
2
cng c xem nh l mt c lng ca phng sai qun th , tuy nhin y li l
11
gi tr x cn c xem l trung bnh khng trng s ca cc gi tr, ngc li vi l trung bnh c trng
s, xem cng thc (4)
12
Cn lu phn bit gia cc i lng
2
(phng sai ca qun th),
2
x
(phng sai ca phn b trung bnh
mu) v S
2
(phng sai mu)
17
ng Nguyn Phng Ti liu ni b NMTP
mt c lng b chch (biased estimator)
E[S
2
] = E
_
1
N
N

i=1
(x
i
x)
2
_
= E
_
1
N
N

i=1
((x
i
) ( x ))
2
_
= E
_
1
N
N

i=1
(x
i
)
2
( x )
2
_
=
2
E
_
( x )
2

=
N 1
N

2
<
2
(32)
iu ny c ngha l E(S
2
) =
2
, k vng ca S
2
khng phi l phng sai
2
ca qun th
13
.
hiu chnh cho s chch ny, chng ta thay th S
2
bng
s
2
=
1
N 1
N

i=1
(x
i
x)
2
(33)
T s gia phng sai cha hiu chnh trn phng sai hiu chnh (S/s)
2
= N/(N 1) c
gi l h s hiu chnh Bessel (Bessels correction).
8.2 chnh xc ca c lng
Sai s (error) hay cn gi l bt nh (uncertainty) th hin khng chnh xc ca mt
c lng so vi gi tr thc ca n. Sai s thng hay c chia lm hai loi l sai s ngu nhin
(random error) hay cn gi l sai s thng k (statistical error) v sai s h thng (systematic
error).

2
total
=
2
statistical
+
2
systematic
(34)
Sai s ngu nhin lin quan n kch thc hu hn ca mu, trong khi sai s h thng li
lin quan n vic mu thhu c khng i din y cc tnh cht ca qun th (v nhiu
l do nh sai s thit b, con ngi,...). Sai s h thng thng kh c nh lng tuy nhin
trong mt s trng hp c th ta cng c th c lng c gi tr ca n.
chnh xc (accuracy) dng nh gi gn (closeness) hay chch (bias) ca gi
tr trung bnh c lng so vi gi tr thc ca i lng vt l, i khi cn c m t bi sai
s h thng (systematic error). Trong Monte Carlo, ta khng th c lng chnh xc ny
mt cch trc tip c.
Cc nhn t chnh nh hng ln chnh xc gm c
chnh xc ca code (m hnh vt l,...)
M hnh bi ton (hnh hc, ngun,...)
Li do ngi s dng
13
L do l v trung bnh mu x l mt c lng bnh phng cc tiu tuyn tnh (linear least squares) ca ,
gi tr ca x c chn sao cho tng

(x
i
x)
2
t gi tr nh nht. Do vy, khi a thm s hng vo trong
tng, gi tr ca tng ch c th tng ln, c bit khi = x ta c
1
N
N

i=1
(x
i
x)
2
<
1
N
N

i=1
(x
i
)
2
18
ng Nguyn Phng Ti liu ni b NMTP
tp trung (precision) l bt nh ca ca cc thng ging thng k trong vic ly mu.
Mi tng quan gia chnh xc v tp trung c mnh ha trong Hnh 11 v Hnh 12.
Hnh 11: Minh ha chnh xc v tp trung ca mt phn b c lng
Hnh 12: Minh ha cc mc ca chnh xc v tp trung
8.3 Khong tin cy
Khong tin cy (Confidence Interval CI) l mt khong gi tr m c th cha trong n gi
tr ca tham s cn c lng (unknown parameter). rng ca khong tin cy cho chng ta
thng tin v bt nh ca php tnh c lng tham s
14
.
Cc khong tin cy thng dng i vi phn b chun nh sau (Hnh 13)
15
P (x
n
1 < < x
n
+ 1) = 68% (35)
P (x
n
2 < < x
n
+ 2) = 95% (36)
P (x
n
3 < < x
n
+ 3) = 99% (37)
14
Nhiu ngi cho rng xc sut c cho bi khong tin cy chnh l xc sut m gi tr trung bnh ca qun
th ri vo trong khong tin cy , suy ngh ny l khng ng. Gi tr trung bnh ca qun th l mt hng s,
n khng thay i, do xc sut gi tr trung bnh qun th ri vo trong khong tin cy ch l mt trong 2
gi tr 0 hoc 1.
15
Cc gi tr xc sut nh 68%, 95%, 99% c cho bi khong tin cy tnh theo ch ng trong trng hp
phn b mt chiu (1-dimension)
19
ng Nguyn Phng Ti liu ni b NMTP
Hnh 13: Minh ha khong tin cy ca phn b chun
Ti liu
[1] J.M. Hammersley, D.C. Handscomb, Monte Carlo Methods, Methuen & Co Ltd (1975).
[2] A.F. Bielajew, Fundamentals of the Monte Carlo Method for Neutral and Charged Particle
Transport, National Reseach Council of Canada (2001).
[3] Malvin H. Kalos, Paula A. Whitlock, Monte Carlo Methods, WILEY-VCH Verlag GmbH
& Co. KGaA (2004).
[4] http://en.wikipedia.org/wiki/Monte_Carlo_method
[5] http://www.inference.phy.cam.ac.uk/tcs27/talks/sampling.html#0
[6] https://quanto.inria.fr/pdf_html/mc_standard_doc/
[7] http://en.wikipedia.org/wiki/Metropolis%E2%80%93Hastings_algorithm
20