Monte Carlo for uncertainty estimation

In summary, the conversation discusses an equation that includes experimental parameters and measurements, with a focus on extracting a parameter called W. The speaker has obtained values for A and its associated uncertainty using Monte Carlo simulations, and is now trying to determine the uncertainty for W. Two methods are suggested, one involving a least square fit and the other involving sampling A multiple times, but there is uncertainty about which method is the most accurate. The conversation also brings up the importance of considering uncertainty in A measurements and potential sources of error in the experiment.
  • #1
kelly0303
561
33
Hello! This is tangentially also a follow up to this post. I have the following equation:

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

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

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

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

1. What is Monte Carlo simulation for uncertainty estimation?

Monte Carlo simulation is a computational technique that uses random sampling to estimate the uncertainty of a mathematical model or system. It involves running multiple simulations with randomly selected input values to generate a range of possible outcomes and then analyzing the results to determine the level of uncertainty in the model.

2. How does Monte Carlo simulation work?

In Monte Carlo simulation, a large number of random samples are generated for each input variable in the model. These samples are then used to run the model multiple times, producing a range of possible outcomes. The results are then analyzed to determine the probability distribution of the output and estimate the uncertainty associated with the model.

3. What are the advantages of using Monte Carlo simulation for uncertainty estimation?

Monte Carlo simulation allows for a more comprehensive and accurate estimation of uncertainty compared to traditional methods. It takes into account the variability and correlation of multiple input variables, which can lead to more realistic and reliable results. Additionally, it can handle complex models with non-linear relationships and multiple sources of uncertainty.

4. What are the limitations of Monte Carlo simulation for uncertainty estimation?

One limitation of Monte Carlo simulation is that it can be computationally intensive and time-consuming, especially for complex models with a large number of input variables. It also relies on the assumption that the input variables are independent and normally distributed, which may not always be the case. Additionally, the accuracy of the results depends on the quality of the input data and the assumptions made in the model.

5. In what fields is Monte Carlo simulation commonly used for uncertainty estimation?

Monte Carlo simulation is widely used in various fields such as finance, engineering, and physics. It is particularly useful in risk analysis, where it can be used to estimate the potential impact of uncertain factors on a project or investment. It is also commonly used in statistical modeling and optimization to account for uncertainty in the input variables.

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