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Lecture_repo / Lectures_my / MC_2016 / Lecture12 / mchrzasz.tex
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\author{ {\fontspec{Trebuchet MS}Marcin Chrz\k{a}szcz} (Universit\"{a}t Z\"{u}rich)}
\institute{UZH}
\title[Specific \pdf~generation]{Specific \pdf~generation}
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\author{ {\fontspec{Trebuchet MS}Marcin Chrz\k{a}szcz} (Universit\"{a}t Z\"{u}rich)}
\institute{UZH}
\title[Applications of MC methods]{Applications of MC methods}
\date{\fixme}


\begin{document}
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{
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\begin{frame}[c]%{\phantom{title page}} 
\begin{center}
\begin{center}
	\begin{columns}
		\begin{column}{0.9\textwidth}
			\flushright\fontspec{Trebuchet MS}\bfseries \Huge {Applications of MC methods}
		\end{column}
		\begin{column}{0.2\textwidth}
		  %\includegraphics[width=\textwidth]{SHiP-2}
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\end{center}
	\quad
	\vspace{3em}
\begin{columns}
\begin{column}{0.44\textwidth}
\flushright \vspace{-1.8em} {\fontspec{Trebuchet MS} \Large Marcin ChrzÄ…szcz\\\vspace{-0.1em}\small \href{mailto:mchrzasz@cern.ch}{mchrzasz@cern.ch}}

\end{column}
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\end{columns}

\vspace{1em}
%		\footnotesize\textcolor{gray}{With N. Serra, B. Storaci\\Thanks to the theory support from M. Shaposhnikov, D. Gorbunov}\normalsize\\
\vspace{0.5em}
	\textcolor{normal text.fg!50!Comment}{Monte Carlo methods, \\ 26 May, 2016}
\end{center}
\end{frame}
}


\begin{frame}\frametitle{Optimization}
\begin{minipage}{\textwidth}
\begin{exampleblock}{Optimization problem:}
We have a set $X \subset \mathbb{R}^m$ and a function $F : X \to \mathbb{R}$.\\
Task:\\
Find the optimum point:
\begin{align*}
x_{opt} \in X : \forall_{x \in X}~F(x) \geq F(x_{opt})
\end{align*}
\end{exampleblock}
\ARROW This is completely different then normal function minimalization as we choose $x_{opt}$ from a set X. This makes a big differences for numerical computations.\\
\ARROWR The MC algorithms for solving this problem:
\begin{itemize}
\item Hit and miss method - the simplest and the slowest.
\item Sequence methods - MC interpretation of method of further approximations.
\item Genetic methods, stat. optimization. 
\end{itemize}


\end{minipage}

\end{frame}




\begin{frame}\frametitle{Optimization hit and miss}
\begin{minipage}{\textwidth}
\begin{footnotesize}

\ARROWR The algorithm acts as follows:
\begin{itemize}
\item We generate $N$ points $x_1,...,x_N \in X$ from a constant \pdf~on $X$.
\item We calculate the $F$ function value in the points $x_1,...,x_N$:
\begin{align*}
F_1=F(x_1),~~~F_2=F(x_2),~~~...,~~~F_N
\end{align*}
\item We calculate $F^{\ast}=\min \lbrace F_1,F_2,...,F_N \rbrace$.
\item The solution is $x_j: F(x_j)=F^{\ast}$
\end{itemize}
\ARROW Precision:
\begin{exampleblock}{}
If $F^{\ast}=\min_{1\leq j \leq N} \lbrace F(x_j) \rbrace$ where $x_j=1,2,...N$ are random points from uniform \pdf~on $X$. Then with the probability $1-(1-\gamma)^N$ the volume of points $x$ for which $F(x)<F^{\ast}$ is smaller then $\epsilon$. 
\end{exampleblock}
\ARROW We can say that with probability $1-(1-\gamma)^N$ the points $x_{opt}$ was localized with the probability $\gamma$. \\
\ARROW the smaller the volume the better the accuracy.


\end{footnotesize}
\end{minipage}

\end{frame}


\begin{frame}\frametitle{Optimization hit and miss}
\begin{minipage}{\textwidth}
\begin{footnotesize}

\ARROWR The algorithm acts as follows:
\begin{itemize}
\item We generate $N$ points $x_1,...,x_N \in X$ from a constant \pdf~on $X$.
\item We calculate the $F$ function value in the points $x_1,...,x_N$:
\begin{align*}
F_1=F(x_1),~~~F_2=F(x_2),~~~...,~~~F_N
\end{align*}
\item We calculate $F^{\ast}=\min \lbrace F_1,F_2,...,F_N \rbrace$.
\item The solution is $x_j: F(x_j)=F^{\ast}$
\end{itemize}
\ARROW Precision:
\begin{exampleblock}{}
If $F^{\ast}=\min_{1\leq j \leq N} \lbrace F(x_j) \rbrace$ where $x_j=1,2,...N$ are random points from uniform \pdf~on $X$. Then with the probability $1-(1-\gamma)^N$ the volume of points $x$ for which $F(x)<F^{\ast}$ is smaller then $\epsilon$. 
\end{exampleblock}
\ARROW We can say that with probability $1-(1-\gamma)^N$ the points $x_{opt}$ was localized with the probability $\gamma$. \\
\ARROW the smaller the volume the better the accuracy.


\end{footnotesize}
\end{minipage}

\end{frame}



\begin{frame}\frametitle{Optimization hit and miss}
\begin{minipage}{\textwidth}
\begin{footnotesize}
\begin{center}
The smallest $N$ that obeys: $1-(1-\gamma)^N \geq 1 -\epsilon$:
\includegraphics[width=0.7\textwidth]{images/table.png}
\end{center}
\ARROW Example: $\left[0,1\right]^m$ and $F:X \to \mathbb{R}$.\\
How many points we need to generate to ahve $0.9$ probability to be have half of the range of each direction in each precision:
\begin{itemize}
\item For $m=1$: $\gamma=1/2~\rightarrowtail~N=4$.
\item For $m=2$: $\gamma=1/4\rightarrowtail~N=9$.
\item For $m=14$: $\gamma=2^{-14}\rightarrowtail~N>23~000$.

\end{itemize}
\ARROW Inefficient for multi-dimensions. 
\end{footnotesize}
\end{minipage}

\end{frame}





\begin{frame}\frametitle{Optimization sequence}
\begin{minipage}{\textwidth}
\begin{footnotesize}

\ARROW The algorithm:
\begin{itemize}
\item We choose the starting point $x_1 \in X$ from some \pdf~on $X$ set.
\item After generating $x_1,x_2,...,x_n$ check if some conditions are meet.
\begin{itemize}
\item If YES then we stop and we put $x_n$ as solution.
\item If NO then we generate $x_{n+1}$ form a \pdf~ that depends on already generated points. 
\end{itemize}
\end{itemize}

\ARROW The basic sequence algorithm:
\begin{itemize}
\item Choose $x_1$.
\item After we have $x_1,x_2,...,x_n$ then we generate a temporary point $\xi_n$:
\begin{align*}
x_{n+1}=\begin{cases}
x_n,~~~~~~~~~~{\rm if}~F(x_n+\xi_n) \geq F(x_n)-\epsilon\\
x_n+\xi_n,~~{\rm if}~F(x_n+\xi_n) < F(x_n)-\epsilon \end{cases}
\end{align*}
\end{itemize}



\end{footnotesize}
\end{minipage}

\end{frame}




\begin{frame}\frametitle{Optimization sequence}
\begin{minipage}{\textwidth}
\begin{footnotesize}

\ARROW From the above algorithm we will get a sequence:
\begin{align*}
F(x_1) \geq F(x_2) \geq F(x_3) \geq ...\geq F(x_n)\geq F(x_{n+1})...
\end{align*}
\ARROW If the function is bounded from the bottom the the above sequence is converging.\\
\ARROWR How can we be sure it will converge to $x_{opt}$?
\begin{center}
\includegraphics[width=0.6\textwidth]{images/fig2.png}
\end{center}
\ARROW If we choose the correct the $P_n$ every sequence starting from $x^{\prime}$ will converge to $\overline{x}$, where $F$ has a local minimum.




\end{footnotesize}
\end{minipage}

\end{frame}


\begin{frame}\frametitle{Optimization sequence}
\begin{minipage}{\textwidth}
\begin{footnotesize}
\ARROW There are two types of algorithms:
\begin{itemize}
\item If the algorithm can find the global minimum then we call it: global algorithm.
\item If the algorithm can find only local minimum the we call it: local algorithm.
\end{itemize}
\ARROWR If in the sequence $\lbrace x_n \rbrace$ we find a point $x^{\prime}$ such that:
\begin{align*}
F(x_{opt}) < F(x^{\prime}) <  F(x_{opt})+\epsilon
\end{align*}
then the above algorithm will converge only to $x^{\prime}$. \\
\ARROW Of course we can change the $\epsilon$ such that we escape the $x^{\prime}$.
\end{footnotesize}
\end{minipage}

\end{frame}



\begin{frame}
\begin{minipage}{\textwidth}

\begin{center}
\begin{Large}
Q \& A
\end{Large}
\end{center}

\end{minipage}

\end{frame}








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