Técnicas de Reducción de Varianza

Reduction variance techniques
Chapter 9 from Ross (2013)
Freddy Hernndez Barajas

Universidad Nacional de Colombia
Freddy Hernndez BarajasUniversidad Nacional de Colombia
Introduction
Suppose as usual that we wish to estimate . Then the standard

simulation algorithm is:
1
2
3
Generate U1 , U2 , . . . , Un .
P
Estimate with n = n
j=1 Xj /n
where Xj = h(Uj )
Approximate 100(1 )% confidence intervals are given by
n
n z/2
n
n
n + z/2
n
where
n is the usual estimate of Var (X ) based on X1 , X2 , . . . , Xn .
Introduction
We would like IC to be small, but sometimes this is difficult to
achieve. This may be because Var (X ) is too large, or too much
computational effort is required to simulate each Xj so that n is
necessarily small, or some combination of the two.
There are a number of things we can do:
Develop a good simulation algorithm.
Program carefully to minimize execution time.
Program carefully to minimize storage requirements. For
example we do not need to store all the Xj s: we only need to
P
P
keep track of Xj and Xj2 .
Decrease the variability of the simulation output that we use to
estimate . The techniques used to do this are usually called
variance reduction techniques.
Variance reduction techniques
Antithetic variables.
Control variates.
Conditioning.
1. Antithetic variables
Suppose we are interested in using simulation to estimate = E [X ]

and suppose we have generated X1 and X2 , identically distributed
random variables having mean . Then
Var
X1 + X2
2
1
(Var (X1 ) + Var (X2 ) + 2Cov (X1 , X2 ))
4
Hence it would be adventageous if X1 and X2 rather than being

independent were negatively correlated.
. . . continuation
To see how we migth arrange for X1 and X2 to be negatively
correlated, suppose that X1 is a function of m random numbers
X1 = h(U1 , U2 , . . . , Um )
where U1 , U2 , . . . , Um are m independent random numbers.
If U U(0, 1) then 1 U is also distribuited as U(0, 1) and
X2 = h(1 U1 , 1 U2 , . . . , 1 Um )
has the same distribution as X1 and it is negatively correlated with
X1 .
What type of function could be h()? Consult page 156.
Example 9d
Suppose we were interested in using simulation to estimate

= E [e u ] =
Z 1
e x dx
It is apropiate the use of the antithetic variable 1 u?

We will compare the variance without and with antithetic variables
to decide.
. . . continuation
First
Second
. . . continuation
We see that the use of independent variables results in a variance of
whereas the use of the antithetic variables U and 1 U gives a

variance of
. . . continuation
Without antithetic variables
g <- function(x) exp(x)
n <- 1000
u1 <- runif(n)
u2 <- runif(n)
x1 <- ( g(u1) + g(u2) ) / 2
mean(x1)
## [1] 1.721373
var(x1)
## [1] 0.1284228
. . . continuation
Using antithetic variables

x2 <- ( g(u1) + g(1-u1) ) / 2
mean(x2)
## [1] 1.722226
var(x2)
## [1] 0.004299438
. . . continuation
Comparing the two approaches
Without antithetic variables
2.0
With antithetic variable

2.0
True integral value
1.9
Mean evolution
Mean evolution
1.9
1.8
1.7
1.6
1.8
1.7
1.6
1.5
1.5
0
200
400
600
800
1000
Iterations
200
400
600
Iterations
800
1000
. . . continuation
f <- function(x) exp(x)

# The true value to estimate is:
integrate(f, lower=0, upper=1)
## 1.718282 with absolute error < 1.9e-14
. . . continuation
aprox <- function(n=1000, antithetic=FALSE) {

u <- runif(n/2)
if (!antithetic)
v <- runif(n/2)
else
v <- 1 - u
u <- c(u, v)
x <- f(u)
mean(x)
}
. . . continuation
n <- 1000
without.anti <- replicate(n=n, aprox(antithetic=FALSE))
with.anti <- replicate(n=n, aprox(antithetic=TRUE))
. . . continuation
mean(without.anti)
## [1] 1.718942
sd(without.anti)
## [1] 0.01525596
mean(with.anti)
## [1] 1.718274
sd(with.anti)
## [1] 0.002755573
Example 1
Estimate the integral
R
0
g(x ) dx =
R
0
log(1 + x 2 )e x dx .
To solve the integral we can use the change variable t = 1 e x to

ensure that f () is a monotonic function.
f (t) = log(1 + log2 (1 t))
and the integral to solve is
R1
0
f (t) = log(1 + log2 (1 t)) dt.
f(x)
0.0
0.00
0.5
0.05
1.0
1.5
0.15
0.10
g(x)
2.0
0.20
2.5
0.25
3.0
. . . continuation
10
15
0.0
0.2
0.4
0.6
x
0.8
1.0
. . . continuation
f <- function(x) log(1 + (log(1 - x)) ^ 2)

# The true value to estimate is:
integrate(f, lower=0, upper=1)
## 0.6867559 with absolute error < 9.7e-07
. . . continuation
aprox <- function(n=1000, antithetic=FALSE) {

u <- runif(n/2)
if (!antithetic)
v <- runif(n/2)
else
v <- 1 - u
u <- c(u, v)
x <- f(u)
mean(x)
}
. . . continuation
n <- 1000
without.anti <- replicate(n=n, aprox(antithetic=FALSE))
with.anti <- replicate(n=n, aprox(antithetic=TRUE))
mean(without.anti)
## [1] 0.6867205
sd(without.anti)
## [1] 0.02383796
mean(with.anti)
## [1] 0.6865537
sd(with.anti)
## [1] 0.01382919
Example 2
Estimate V =
R /4 R /4 2 2
x y sin(x + y ) ln(x + y )dxdy .
0
0
If we use x = u1 /4, y = u2 /4 the integral limits are 0 and 1.

Note that f (u1 , u2 ) is monotonic in both variables, for u1 [0, 1]
and u2 [0, 1] .
. . . continuation
Not using antithetic variables
g <- function(x) prod(x)^2*sin(sum(x))*log(sum(x))
n <- 1000
u1 <- matrix(runif(2*n), ncol=2)
x1 <- apply(u1*pi/4, 1, g) * pi^2 / 16
x2 <- apply(u2*pi/4, 1, g) * pi^2 / 16
x <- ( x1 + x2 ) / 2
mean(x)
## [1] 0.004155943
var(x)
## [1] 9.682597e-05
. . . continuation
Using antithetic variables
g <- function(x) prod(x)^2*sin(sum(x))*log(sum(x))
n <- 1000
x1 <- apply(u1*pi/4, 1, g) * pi^2 / 16
u2 <- 1 - u1
x2 <- apply(u2*pi/4, 1, g) * pi^2 / 16
y <- ( x1 + x2 ) / 2
mean(y)
## [1] 0.003887711
var(y)
## [1] 7.70069e-05
. . . continuation
Comparing results.
0.010
Without a.v.
With a.v.
Mean evolution
0.008
0.006
0.004
0.002
0.000
0
200
400
600
800
Iterations
1000
Exercise from Rizzo (2008)
Use Monte Carlo integration with antithetic variables to estimate

Z 1
e x
0
1 + x2
dx ,
and find the approximate reduction in variance as a percentage of

the variance without variance reduction.
2. Control variates
Suppose that we want to use simulation to estimate = E [X ],

where X is the output of a simulation. Now suppose that for some
other output variable Y, the expected value of Y is known-say,
E [Y ] = Y .
Then for any constant c, the quantity
X + c(Y Y )
is also an unbiased estimator of .
. . . continuation
To determine the best value of c, note that
Simple calculus now shows that the above is minimized when

c = c ? , where
c? =
Cov (X , Y )
Var (Y )
. . . continuation
and for this value the variance of the estimator is
The quantity Y is called a control variate for the simulation

estimator X .
The quantity X + c(Y Y ) is called the controlled
estimator.
. . . continuation
Upon dividing the last Equation by Var (X ), we obtain that
is the correlation between X and Y . Hence, the variance reduction

obtained in using the control variate Y is 100 Corr 2 (X , Y ) percent.
. . . continuation
The quantities Cov (X , Y ) and Var (Y ) are usually not known in

advance and must be estimated from the simulated data. If n
simulation runs are performed, and the output data Xi , Yi , with
i = 1, . . . , n, result, then using the estimators
. . . continuation
we can approximate c ? by c? , where
Example 9h
As in Example 9d, suppose we were interested in using simulation to

compute = E [e U ]. Here, a natural variate to use as a control is
the random number U.
. . . continuation
Because Var (U) = 1/12 it follows that
where the above used, from Example 9d, that Var (e U ) = 0.2420.
Hence, in this case, the use of the control variate U can lead to a
variance reduction of up to 98.4 percent.
. . . continuation
We want to estimate E [e U ] until its standard deviation d < 0.01.
d
J0
x
s2
i
<<<<<-
0.01
20 # J0 Minimum number of variates
exp( runif(J0) )
var(x)
J0
while ( sqrt(s2/i) > d ) {

i <- i + 1
x[i] <- exp( runif(1) )
s2 <- var(x)
}
. . . continuation
The results are

i
## [1] 2429
mean( x )
## [1] 1.731676
. . . continuation
Using control variate.
U
X
Y
S2
i
<<<<<-
runif(J0)
exp(U)
U # Using the notation
var(X)
J0
while ( sqrt(S2/i) > d

i <- i + 1
u <- runif(1)
X[i] <- exp(u); Y[i]
c_star <- - cov(X,Y)
Z <- X + c_star * (Y
S2 <- var(Z)
}
) {
<- u
/ var(Y)
- 0.5)
. . . continuation
The results are

i
## [1] 43
mean( Z )
## [1] 1.721574
. . . continuation
Resuming
Without control variate
With control variate

2.0
1.9
1.9
1.8
1.8
x Mean
Z Mean
2.0
1.7
1.7
1.6
1.6
1.5
1.5
0
500
1000
1500
2000
2500
Iterations
10
20
Iterations
30
40
3. Variance reduction by Conditioning
Suppose we are interested in performing a simulation study so as to

ascertain the value of = E [X ], where X is an output variable of a
simulation run. Also, suppose there is a second variable Y , such
that E [X |Y ] is known and takes on a value that can be determined
from the simulation run. Since
E [E [X | Y ]] = E [X ] =
it follows that E [X | Y ] is also an unbiased estimator of .
. . . continuation
Recall the conditional variance formula proved in Section 2.10 of

Chapter 2.
Var (X ) = E [Var (X | Y )] + Var (E [X | Y ])
Since both terms on the right are nonnegative,
Var (X ) Var (E [X | Y ])
it follows that as an estimator of , E [X | Y ] is superior to the
(raw) estimator X .
Example 9k
Show how we can estimate by determining how often a randomly
chosen point in the square of area 4 centered around the origin falls
within the inscribed circle of radius 1. Specifically, if we let
Vi = 2Ui 1, where Ui , i = 1, 2, are random numbers, and set
. . . continuation
The estimators I and (1 V12 ) 2 have mean /4.
. . . continuation
Since
it follows that V12 and U 2 have the same distribution, so we can

1
simplify by using the estimator (1 U 2 ) 2 where U U(0, 1).
1
What are the variances of I and (1 U 2 ) 2 ?
. . . continuation
. . . continuation
We can illustrate the example in R:

n <- 500
v1 <- runif(n, -1, 1)
v2 <- runif(n, -1, 1)
I <- (v1^2 + v2^2) <= 1
U <- runif(n)
Z <- (1-U^2)^0.5
. . . continuation
Mean evolution
1.2
True value
Without conditioning
With conditioning
1.1
1.0
Mean
0.9
0.8
0.7
0.6
0.5
0
100
200
300
400
Iterations
500
. . . continuation
We can obtain the empirical variances of I and (1 U 2 ) 2 .

var(I)
## [1] 0.1638918
var(Z)
## [1] 0.04519196
Homework
Do exercises.

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Reduction variance techniques

Chapter 9 from Ross (2013)

Freddy Hernndez Barajas

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Suppose as usual that we wish to estimate . Then the standard

Approximate 100(1 )% confidence intervals are given by

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Reduction variance techniques

Variance reduction techniques

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Suppose we are interested in using simulation to estimate = E [X ]

Hence it would be adventageous if X1 and X2 rather than being

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Suppose we were interested in using simulation to estimate

It is apropiate the use of the antithetic variable 1 u?

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

We see that the use of independent variables results in a variance of

whereas the use of the antithetic variables U and 1 U gives a

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Using antithetic variables

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

With antithetic variable

True integral value

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

f <- function(x) exp(x)

## 1.718282 with absolute error < 1.9e-14

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

aprox <- function(n=1000, antithetic=FALSE) {

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Reduction variance techniques

Estimate the integral

To solve the integral we can use the change variable t = 1 e x to

f (t) = log(1 + log2 (1 t)) dt.

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

f <- function(x) log(1 + (log(1 - x)) ^ 2)

## 0.6867559 with absolute error < 9.7e-07

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

aprox <- function(n=1000, antithetic=FALSE) {

Freddy Hernndez BarajasUniversidad Nacional de Colombia

Reduction variance techniques

Freddy Hernndez BarajasUniversidad Nacional de Colombia