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This document reviews Monte Carlo Statistical Convergence over the last 60 years, based on the real World state of computers over this time. Stress is placed on providing examples of what was and was not practically possible over this period of time. I present a few examples to illustrate convergence based not only on sample size, but also how cross sections can be modelled.
In a Monte Carlo calculation, statistical uncertainty is inevitably included in the result. The statistical uncertainty is commonly estimated by the central limit theorem without considering correlation among generations. The statistical uncertainty is usually expected to decrease at the inverse square root of the number of neutron histories. However, in a Monte Carlo eigenvalue calculation in a large geometry whose dominance ratio is close to unity, the central limit theorem would not be valid and thus the statistical uncertainty of fission source distribution can be significantly underestimated when inter-cycle correlation is not appropriately taken into account. The true statistical uncertainty can be calculated by statistical processing of the results obtained by multiple Monte Carlo runs using different initial random seeds, but this approach has a drawback of large calculation cost. Therefore, prediction of true statistical uncertainty by alternate approach is desirable. One of the solutions for this issue is an evaluation method of statistical uncertainty based on the eigenfunction expansion and the Autoregressive model (AR model). In this method, the true statistical uncertainty is theoretically derived by applying the AR model to behavior of expansion coefficients of eigenfunction in fission source distribution during cycles. Underestimation ratio of statistical uncertainty of fission source distribution can be predicted by this method. Note that the underestimation ratio of statistical uncertainty is defined by the ratio of estimated error by a Monte Carlo calculation to the true statistical error. In the previous study, the proposed method was verified in a simple condition such as one energy group, one dimensional homogeneous slab geometry. Contributions of this summary are as follows. Firstly, expression of the noise term that is appeared in the AR model is theoretically derived. Secondly, prediction on underestimation ratio of statistical uncertainty is carried out in a more general case, i.e., flux of each fuel cell in 2 x 2 heterogeneous assembly geometry taken from the C5G7 benchmark problem. Through the present study, applicability of the theoretical prediction for underestimation of statistical uncertainty in practical problems will be verified. (authors)
The statistics are considered of the Monte Carlo method relative to the interpretation of the NUGAM2 and NUGAM3 computer code results. A numerical experiment using the NUGAM2 code is presented and the results are statistically interpreted.
A comprehensive study is performed to investigate satellite debris impact point dispersion using a combination of Monte Carlo statistical analysis and parametric methods. The Monte Carlo technique accounts for nonlinearities in the entry point dispersion, which is represented by a covariance matrix of position and velocity errors. Because downrange distance of impact is a monotonic function of debris ballistic coefficient, a parametric method is useful for determining dispersion boundaries. The scheme is applied in the present analysis to estimate the Skylab footprint dispersions for a controlled reentry. A significant increase in the footprint dispersion is noticed for satellite breakup above a 200,000-ft altitude. A general discussion of the method used for analysis is presented together with some typical results obtained for the Skylab deboost mission, which was designed before NASA abandoned plans for a Skylab controlled reentry.
Algebraic Monte Carlo procedure statistically analyzes performance parameters in large, complex systems. The individual effects of input variables can be isolated and individual input statistics can be changed without having to repeat the entire analysis.
The analysis of line broadening in X-ray and neutron diffraction patterns using profile functions constructed on the basis of well-established physical principles and TEM observations of lattice defects has proven to be a powerful tool for characterizing microstructures in crystalline materials. These principles are applied in the convolutional multiple-whole-profile (CMWP) procedure to determine dislocation densities, crystallite size, stacking fault and twin boundary densities, and intergranular strains. The different lattice defect contributions to line broadening are separated by considering the hkl dependence of strain anisotropy, planar defect broadening and peak shifts, and the defect dependent profile shapes. The Levenberg–Marquardt (LM) peak fitting procedure can be used successfully to determine crystal defect types and densities as long as the diffraction patterns are relatively simple. However, in more complicated cases like hexagonal materials or multiple-phase patterns, using the LM procedure alone may cause uncertainties. Here, we extended the CMWP procedure by including a Monte Carlo statistical method where the LM and a Monte Carlo algorithm were combined in an alternating manner. The updated CMWP procedure eliminated uncertainties and provided global optimized parameters of the microstructure in good correlation with electron microscopy methods.
Monte Carlo analysis of gold sphere transmission experiments at 24 keV neutron energy using S wave spin state data
Computer program with Monte Carlo sampling techniques determines the effect of a component part of a unit upon the overall system performance. It utilizes the full statistics of the disturbances and misalignments of each component to provide unbiased results through simulated random sampling.
Statistical uncertainty is inherent to any Monte Carlo simulation of radiation transport problems. In space-angle-frequency independent radiative transfer calculations, the uncertainty in the solution is entirely due to random sampling of source photon emission times. We have developed a modification to the Implicit Monte Carlo algorithm that eliminates noise due to sampling of the emission time of source photons. In problems that are independent of space, angle, and energy, the new algorithm generates a smooth solution, while a standard implicit Monte Carlo solution is noisy. For space- and angle-dependent problems, the new algorithm exhibits reduced noise relative to standard implicit Monte Carlo in some cases, and comparable noise in all other cases. In conclusion, the improvements are limited to short time scales; over long time scales, noise due to random sampling of spatial and angular variables tends to dominate the noise reduction from the new algorithm.
High statistical precision is critical for Monte Carlo (MC) samples in high energy physics and is degraded by negatively weighted events. This paper investigates a procedure to learn the relationship between the negative and positive weight distributions of any sample, allowing the reduction of statistical uncertainty by reweighting kinematically equivalent events with the same sign. A robust uncertainty quantification method is required for the practical application of such method. Two methods for the estimation of the reweighting uncertainty are developed: one at the event and another one at the final observable level. The latter method is strongly favored. The gains in statistical precision are then quantified. The method is demonstrated on Sherpa vector boson plus jets samples when using all generated events and when restricted to the signal region of a mock analysis. It is demonstrated to significantly reduce stochastic behavior in sparse MC samples while decreasing the overall uncertainty with a sufficiently well-known reweighting function.
Monte Carlo methods, Mie theory, and random walk and screen models for predicting reflective properties of paint films
The previously developed ab initio model and the kinetic Monte Carlo method (KMCM) are used to simulate precipitation in a number of iron-copper alloys with different copper concentrations x and temperatures T. The same simulations are also made using an improved version of the previously suggested stochastic statistical method (SSM). The results obtained enable us to make a number of general conclusions about the dependences of the decomposition kinetics in Fe-Cu alloys on x and T. We also show that the SSM usually describes the precipitation kinetics in good agreement with the KMCM, and using the SSM in conjunction with the KMCM allows extending the KMC simulations to the longer evolution times. The results of simulations seem to agree with available experimental data for Fe-Cu alloys within statistical errors of simulations and the scatter of experimental results. Comparison of simulation results with experiments for some multicomponent Fe-Cu-based alloys allows making certain conclusions about the influence of alloying elements in these alloys on the precipitation kinetics at different stages of evolution.
STAT7 was written to automate many of the steady-state thermal hydraulic safety calculations for the MIT research reactor, both for conversion of the reactor from highly enriched uranium fuel to low-enriched uranium fuel and for future fuel re-loads after the conversion. A Monte-Carlo statistical propagation approach is used to treat uncertainties in important parameters in the analysis. These safety calculations are ultimately intended to protect against high fuel plate temperatures due to critical heat flux or departure from nucleate boiling or onset of flow instability; but additional margin is obtained by basing the limiting safety settings on avoiding onset of nucleate boiling. STAT7 can simultaneously analyze all of the axial nodes of all of the fuel plates and all of the coolant channels for one stripe of a fuel element. The stripes run the length of the fuel, from the bottom to the top. Power splits are calculated for each axial node of each plate to determine how much of the power goes out each face of the plate. By running STAT7 multiple times, full core analysis can be performed by analyzing the margin to ONB for each axial node of each stripe of each plate of each element in the core.
The STAT code was written to automate many of the steady-state thermal hydraulic safety calculations for the MIT research reactor, both for conversion of the reactor from high enrichment uranium fuel to low enrichment uranium fuel and for future fuel re-loads after the conversion. A Monte-Carlo statistical propagation approach is used to treat uncertainties in important parameters in the analysis. These safety calculations are ultimately intended to protect against high fuel plate temperatures due to critical heat flux or departure from nucleate boiling or onset of flow instability; but additional margin is obtained by basing the limiting safety settings on avoiding onset of nucleate boiling. STAT7 can simultaneously analyze all of the axial nodes of all of the fuel plates and all of the coolant channels for one stripe of a fuel element. The stripes run the length of the fuel, from the bottom to the top. Power splits are calculated for each axial node of each plate to determine how much of the power goes out each face of the plate. By running STAT7 multiple times, full core analysis has been performed by analyzing the margin to ONB for each axial node of each stripe of each plate of each element in the core.
The Kalman filter is the optimal filter in the presence of known gaussian error statistics and linear dynamics. Filter extension to nonlinear dynamics is non trivial in the sense of appropriately representing high order moments of the statistics. Monte Carlo, ensemble-based, methods have been advocated as the methodology for representing high order moments without any questionable closure assumptions. Investigation along these lines has been conducted for highly idealized dynamics such as the strongly nonlinear Lorenz model as well as more realistic models of the means and atmosphere. A few relevant issues in this context are related to the necessary number of ensemble members to properly represent the error statistics and, the necessary modifications in the usual filter situations to allow for correct update of the ensemble members. The ensemble technique has also been applied to the problem of smoothing for which similar questions apply. Ensemble smoother examples, however, seem to be quite puzzling in that results state estimates are worse than for their filter analogue. In this study, we use concepts in probability theory to revisit the ensemble methodology for filtering and smoothing in data assimilation. We use the Lorenz model to test and compare the behavior of a variety of implementations of ensemble filters. We also implement ensemble smoothers that are able to perform better than their filter counterparts. A discussion of feasibility of these techniques to large data assimilation problems will be given at the time of the conference.
Purpose: To use Monte Carlo radiation transport methods to calculate correction factors for a free-air ionization chamber in support of a national air-kerma standard for low-energy, miniature x-ray sources used for electronic brachytherapy (eBx). Methods: The NIST is establishing a calibration service for well-type ionization chambers used to characterize the strength of eBx sources prior to clinical use. The calibration approach involves establishing the well-chamber’s response to an eBx source whose air-kerma rate at a 50 cm distance is determined through a primary measurement performed using the Lamperti free-air ionization chamber. However, the free-air chamber measurements of charge or current can only be related to the reference air-kerma standard after applying several corrections, some of which are best determined via Monte Carlo simulation. To this end, a detailed geometric model of the Lamperti chamber was developed in the EGSnrc code based on the engineering drawings of the instrument. The egs-fac user code in EGSnrc was then used to calculate energy-dependent correction factors which account for missing or undesired ionization arising from effects such as: (1) attenuation and scatter of the x-rays in air; (2) primary electrons escaping the charge collection region; (3) lack of charged particle equilibrium; (4) atomic fluorescence and bremsstrahlung radiation. Results: Energy-dependent correction factors were calculated assuming a monoenergetic point source with the photon energy ranging from 2 keV to 60 keV in 2 keV increments. Sufficient photon histories were simulated so that the Monte Carlo statistical uncertainty of the correction factors was less than 0.01%. The correction factors for a specific eBx source will be determined by integrating these tabulated results over its measured x-ray spectrum. Conclusion: The correction factors calculated in this work are important for establishing a national standard for eBx which will help ensure that dose is accurately and consistently delivered to patients.
The Kalman filter is the optimal filter in the presence of known Gaussian error statistics and linear dynamics. Filter extension to nonlinear dynamics is non trivial in the sense of appropriately representing high order moments of the statistics. Monte Carlo, ensemble-based, methods have been advocated as the methodology for representing high order moments without any questionable closure assumptions (e.g., Miller 1994). Investigation along these lines has been conducted for highly idealized dynamics such as the strongly nonlinear Lorenz (1963) model as well as more realistic models of the oceans (Evensen and van Leeuwen 1996) and atmosphere (Houtekamer and Mitchell 1998). A few relevant issues in this context are related to the necessary number of ensemble members to properly represent the error statistics and, the necessary modifications in the usual filter equations to allow for correct update of the ensemble members (Burgers 1998). The ensemble technique has also been applied to the problem of smoothing for which similar questions apply. Ensemble smoother examples, however, seem to quite puzzling in that results of state estimate are worse than for their filter analogue (Evensen 1997). In this study, we use concepts in probability theory to revisit the ensemble methodology for filtering and smoothing in data assimilation. We use Lorenz (1963) model to test and compare the behavior of a variety implementations of ensemble filters. We also implement ensemble smoothers that are able to perform better than their filter counterparts. A discussion of feasibility of these techniques to large data assimilation problems will be given at the time of the conference.
Through the Sandia National Laboratories (SNL) New Mexico Small Business Assistance (NMSBA) program, Sandia worked with the Environmental Restoration Group (ERG) Inc. to verify and validate a novel algorithm used to determine the scanning Critical Level (Lc) and Minimum Detectable Concentration (MDC) (or Minimum Detectable Areal Activity) for the 102F scanning system. Through the use of Monte Carlo statistical simulations the algorithm mathematically demonstrates accuracy in determining the Lc and MDC when a nearest-neighbor averaging (NNA) technique was used. To empirically validate this approach, SNL prepared several spiked sources and ran a test with the ERG 102F instrument on a bare concrete floor known to have no radiological contamination other than background naturally occurring radioactive material (NORM). The tests conclude that the NNA technique increases the sensitivity (decreases the Lc and MDC) for high-density data maps that are obtained by scanning radiological survey instruments. It is further described in Sandia Laboratories document number SAND2014-16522. (authors)