Monte Carlo Simulations

Steven Gollmer
Cedarville University

Meet and Greet Game

Are there people here who share the
same birthday?
Most births occur in September &
October
October 5th is the most common
birthday
May 22nd is the least common birthday

What does this have to do with

Monte Carlo?
What is the probability that at least one

Birthday Attack
Hash functions convert
arbitrary length data into
a fixed length string of
data.
Passwords can be hashed
for quicker verification.
Documents can be
hashed and assigned to
a digital signature.
Collisions occur when
documents hash to the
What
impact does hashing have on security?
same
value.
Cracking a password with a 64 bit hash with 100,000
attempts/second could take 5.8 Myr, but a collision with the
hackers guess will likely occur in 14 hr.

Probability
Terms
Event (A) The outcome of an
experiment.
Sample space () All possible
A
outcomes for an experiment.P ( A)

Probability Ratio of |A| to | |

What is the probability of rolling a

seven on two dice?

Probability of Rolling 7
Probability
0.2

0.15
0.1

0.05
0
2

9 10 11 12

Sum of Dice

6
P (7 )
36
Chances
are 1 out of
6

4
5
6
7

10

11 12

Birthday Problem
What is the probability of shared
birthdays if there are N people in the
Choices
room?
N = 1, P(1) = 0%
N = 365, P(365) = 100%
365 364 3
N
=
3,
P (3)
0.82%
3

365 1 364

365

In General 365

k!

k
P( N )
365 N

N!
ni
i
!
ni !

Combinations

Additional Complications
What about 2 pairs of shared
birthdays?
What about triple shared birthdays?
Are birthdays evenly distributed
throughout the year?

Monte Carlo Simulation

Run multiple experiments, N0
Individual outcomes are either 0 or 1
(Failure or Success)
Total number of successes, Ns

Running more experiments give more

accurate results.
Probability
Ns
p
N0

Relative error
Es

1 p
Ns

Calculate the value of

nd the % of points falling within a circle of radius 1.

N0 = 10,000

N0 = 100,000

p = 0.78140
= 3.1256 0.0331

p = 0.78522
= 3.1409 0.0104

A r2

Monte Carlo Birthday

Problem
30 people in a room
Count when collisions occur
Probability theory p = 0.7063

Non-Uniform Birthday
Problem
Theory 70.63%
Monte Carlo
N=1k, p=70.4 2.9%
N=10k, p=71.39 0.90%
N=100k, p=70.90 0.29%
N=1M, p=70.95 0.09%

Normal Distribution
95% confidence interval
2

Hypothesis Testing
Hypothesis: Does a non-uniform birthday
distribution give a significantly different
probability to the birthday problem?
Test: Ran 2 Monte Carlo simulations using a
uniform and non-uniform birthday distribution.
Conclusion:
With a confidence
level better than 95%,
the hypothesis is
verified. If a higher
confidence is desired,
use more experiments.

How well do climate models handle

transport of sunlight?
Models assume that where clouds
exist, they have uniform optical
properties.
Marine
Stratocumulus
Off coast of S.
California
Representative of
uniform clouds.

How do you test if this

assumption is valid?

Fractal Clouds and Monte

Carlo
Water content is
redistributed using a
fractal algorithm.
Send photons through
the non-uniform cloud.
4096 bands
4 M photons

Albedo % reflected
15% difference at 60%
albedo
<1% smoothing from
horizontal transport.

Other Applications
Radiation Therapy
Dosage from multiple
photon scattering in
tissue.

Telescope design
Impact of different
configurations.

NOAA POES MEPED

Measure particle
radiation that can
disrupt communications.

Conclusion Monte Carlo

Simulations
Advantages
Bypass the complexity of solving problems by
analytical methods ( trigonometry, calculus, D.E.,
etc.)
Give solutions to problems too costly to compute
using standard numerical methods.
Easily distributed to multiple processors or GPUs

Disadvantages
Solution is statistical by nature.
High precision comes at a high computational cost.
Best used for problems with limited observables.

Credits
www.r-project.org R statistics program
NASA & NOAA Image source
Wikipedia General information and public
commons images.
Cahalan et al. 1994. Independent Pixel and
Monte Carlo Estimates of Stratocumulus
Albedo. J. Atmos. Sci. 51:3776-90.
http://www.dartmouth.edu/~
chance/teaching_aids/data/birthday.txt
(1978 birthday data)