Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics

The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided it does not involve nuisance parameters). We extend this method in two ways: first, by allowing for MC tests based on exchangeable possibly discrete test statistics; second, by generalizing the method to statistics whose null distributions involve nuisance parameters (maximized MC tests, MMC). Simplified asymptotically justified versions of the MMC method are also proposed and it is shown that they provide a simple way of improving standard asymptotics and dealing with nonstandard asymptotics (e.g., unit root asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general validity properties of the latter).

Latent degradation indicators estimation and prediction : a Monte Carlo approach

Asset health inspections can produce two types of indicators: (1) direct indicators (e.g. the thickness of a brake pad, and the crack depth on a gear) which directly relate to a failure mechanism; and (2) indirect indicators (e.g. the indicators extracted from vibration signals and oil analysis data) which can only partially reveal a failure mechanism. While direct indicators enable more precise references to asset health condition, they are often more difficult to obtain than indirect indicators. The state space model provides an efficient approach to estimating direct indicators by using indirect indicators. However, existing state space models to estimate direct indicators largely depend on assumptions such as, discrete time, discrete state, linearity, and Gaussianity. The discrete time assumption requires fixed inspection intervals. The discrete state assumption entails discretising continuous degradation indicators, which often introduces additional errors. The linear and Gaussian assumptions are not consistent with nonlinear and irreversible degradation processes in most engineering assets. This paper proposes a state space model without these assumptions. Monte Carlo-based algorithms are developed to estimate the model parameters and the remaining useful life. These algorithms are evaluated for performance using numerical simulations through MATLAB. The result shows that both the parameters and the remaining useful life are estimated accurately. Finally, the new state space model is used to process vibration and crack depth data from an accelerated test of a gearbox. During this application, the new state space model shows a better fitness result than the state space model with linear and Gaussian assumption.

Effect of CT electron density identification on Monte Carlo simulations of radiotherapeutic treatments

Introduction: The accurate identification of tissue electron densities is of great importance for Monte Carlo (MC) dose calculations. When converting patient CT data into a voxelised format suitable for MC simulations, however, it is common to simplify the assignment of electron densities so that the complex tissues existing in the human body are categorized into a few basic types. This study examines the effects that the assignment of tissue types and the calculation of densities can have on the results of MC simulations, for the particular case of a Siemen’s Sensation 4 CT scanner located in a radiotherapy centre where QA measurements are routinely made using 11 tissue types (plus air). Methods: DOSXYZnrc phantoms are generated from CT data, using the CTCREATE user code, with the relationship between Hounsfield units (HU) and density determined via linear interpolation between a series of specified points on the ‘CT-density ramp’ (see Figure 1(a)). Tissue types are assigned according to HU ranges. Each voxel in the DOSXYZnrc phantom therefore has an electron density (electrons/cm3) defined by the product of the mass density (from the HU conversion) and the intrinsic electron density (electrons /gram) (from the material assignment), in that voxel. In this study, we consider the problems of density conversion and material identification separately: the CT-density ramp is simplified by decreasing the number of points which define it from 12 down to 8, 3 and 2; and the material-type-assignment is varied by defining the materials which comprise our test phantom (a Supertech head) as two tissues and bone, two plastics and bone, water only and (as an extreme case) lead only. The effect of these parameters on radiological thickness maps derived from simulated portal images is investigated. Results & Discussion: Increasing the degree of simplification of the CT-density ramp results in an increasing effect on the resulting radiological thickness calculated for the Supertech head phantom. For instance, defining the CT-density ramp using 8 points, instead of 12, results in a maximum radiological thickness change of 0.2 cm, whereas defining the CT-density ramp using only 2 points results in a maximum radiological thickness change of 11.2 cm. Changing the definition of the materials comprising the phantom between water and plastic and tissue results in millimetre-scale changes to the resulting radiological thickness. When the entire phantom is defined as lead, this alteration changes the calculated radiological thickness by a maximum of 9.7 cm. Evidently, the simplification of the CT-density ramp has a greater effect on the resulting radiological thickness map than does the alteration of the assignment of tissue types. Conclusions: It is possible to alter the definitions of the tissue types comprising the phantom (or patient) without substantially altering the results of simulated portal images. However, these images are very sensitive to the accurate identification of the HU-density relationship. When converting data from a patient’s CT into a MC simulation phantom, therefore, all possible care should be taken to accurately reproduce the conversion between HU and mass density, for the specific CT scanner used. Acknowledgements: This work is funded by the NHMRC, through a project grant, and supported by the Queensland University of Technology (QUT) and the Royal Brisbane and Women's Hospital (RBWH), Brisbane, Australia. The authors are grateful to the staff of the RBWH, especially Darren Cassidy, for assistance in obtaining the phantom CT data used in this study. The authors also wish to thank Cathy Hargrave, of QUT, for assistance in formatting the CT data, using the Pinnacle TPS. Computational resources and services used in this work were provided by the HPC and Research Support Group, QUT, Brisbane, Australia.

Development of empirical equations for irradiance profile of a standard parabolic trough collector using Monte Carlo ray tracing technique

Irradiance profile around the receiver tube (RT) of a parabolic trough collector (PTC) is a key effect of optical performance that affects the overall energy performance of the collector. Thermal performance evaluation of the RT relies on the appropriate determination of the irradiance profile. This article explains a technique in which empirical equations were developed to calculate the local irradiance as a function of angular location of the RT of a standard PTC using a vigorously verified Monte Carlo ray tracing model. A large range of test conditions including daily normal insolation, spectral selective coatings and glass envelop conditions were selected from the published data by Dudley et al. [1] for the job. The R2 values of the equations are excellent that vary in between 0.9857 and 0.9999. Therefore, these equations can be used confidently to produce realistic non-uniform boundary heat flux profile around the RT at normal incidence for conjugate heat transfer analyses of the collector. Required values in the equations are daily normal insolation, and the spectral selective properties of the collector components. Since the equations are polynomial functions, data processing software can be employed to calculate the flux profile very easily and quickly. The ultimate goal of this research is to make the concentrating solar power technology cost competitive with conventional energy technology facilitating its ongoing research.

The influence of Monte Carlo source parameters on detector design and dose perturbation in small field dosimetry

To obtain accurate Monte Carlo simulations of small radiation fields, it is important model the initial source parameters (electron energy and spot size) accurately. However recent studies have shown that small field dosimetry correction factors are insensitive to these parameters. The aim of this work is to extend this concept to test if these parameters affect dose perturbations in general, which is important for detector design and calculating perturbation correction factors. The EGSnrc C++ user code cavity was used for all simulations. Varying amounts of air between 0 and 2 mm were deliberately introduced upstream to a diode and the dose perturbation caused by the air was quantified. These simulations were then repeated using a range of initial electron energies (5.5 to 7.0 MeV) and electron spot sizes (0.7 to 2.2 FWHM). The resultant dose perturbations were large. For example 2 mm of air caused a dose reduction of up to 31% when simulated with a 6 mm field size. However these values did not vary by more than 2 % when simulated across the full range of source parameters tested. If a detector is modified by the introduction of air, one can be confident that the response of the detector will be the same across all similar linear accelerators and the Monte Carlo modelling of each machine is not required.

Field validation of controlled Monte Carlo data generation for statistical damage identification employing Mahalanobis squared distance

This article presents the field applications and validations for the controlled Monte Carlo data generation scheme. This scheme was previously derived to assist the Mahalanobis squared distance–based damage identification method to cope with data-shortage problems which often cause inadequate data multinormality and unreliable identification outcome. To do so, real-vibration datasets from two actual civil engineering structures with such data (and identification) problems are selected as the test objects which are then shown to be in need of enhancement to consolidate their conditions. By utilizing the robust probability measures of the data condition indices in controlled Monte Carlo data generation and statistical sensitivity analysis of the Mahalanobis squared distance computational system, well-conditioned synthetic data generated by an optimal controlled Monte Carlo data generation configurations can be unbiasedly evaluated against those generated by other set-ups and against the original data. The analysis results reconfirm that controlled Monte Carlo data generation is able to overcome the shortage of observations, improve the data multinormality and enhance the reliability of the Mahalanobis squared distance–based damage identification method particularly with respect to false-positive errors. The results also highlight the dynamic structure of controlled Monte Carlo data generation that makes this scheme well adaptive to any type of input data with any (original) distributional condition.

Assessment on the effect of pollution abatement on environmental efficiency with Markov chain Monte Carlo simulation

Both environmental economists and policy makers have shown a great deal of interest in the effect of pollution abatement on environmental efficiency. In line with the modern resources available, however, no contribution is brought to the environmental economics field with the Markov chain Monte Carlo (MCMC) application, which enables simulation from a distribution of a Markov chain and simulating from the chain until it approaches equilibrium. The probability density functions gained prominence with the advantages over classical statistical methods in its simultaneous inference and incorporation of any prior information on all model parameters. This paper concentrated on this point with the application of MCMC to the database of China, the largest developing country with rapid economic growth and serious environmental pollution in recent years. The variables cover the economic output and pollution abatement cost from the year 1992 to 2003. We test the causal direction between pollution abatement cost and environmental efficiency with MCMC simulation. We found that the pollution abatement cost causes an increase in environmental efficiency through the algorithm application, which makes it conceivable that the environmental policy makers should make more substantial measures to reduce pollution in the near future.

Bayesian model comparison in cosmology with Population Monte Carlo

We use Bayesian model selection techniques to test extensions of the standard flat LambdaCDM paradigm. Dark-energy and curvature scenarios, and primordial perturbation models are considered. To that end, we calculate the Bayesian evidence in favour of each model using Population Monte Carlo (PMC), a new adaptive sampling technique which was recently applied in a cosmological context. The Bayesian evidence is immediately available from the PMC sample used for parameter estimation without further computational effort, and it comes with an associated error evaluation. Besides, it provides an unbiased estimator of the evidence after any fixed number of iterations and it is naturally parallelizable, in contrast with MCMC and nested sampling methods. By comparison with analytical predictions for simulated data, we show that our results obtained with PMC are reliable and robust. The variability in the evidence evaluation and the stability for various cases are estimated both from simulations and from data. For the cases we consider, the log-evidence is calculated with a precision of better than 0.08. Using a combined set of recent CMB, SNIa and BAO data, we find inconclusive evidence between flat LambdaCDM and simple dark-energy models. A curved Universe is moderately to strongly disfavoured with respect to a flat cosmology. Using physically well-motivated priors within the slow-roll approximation of inflation, we find a weak preference for a running spectral index. A Harrison-Zel'dovich spectrum is weakly disfavoured. With the current data, tensor modes are not detected; the large prior volume on the tensor-to-scalar ratio r results in moderate evidence in favour of r=0.

Analysis of Parameter Values in the van der Waals and Platteeuw Theory for Methane Hydrates Using Monte Carlo Molecular Simulations

The van der Waals and Platteuw (vdVVP) theory has been successfully used to model the thermodynamics of gas hydrates. However, earlier studies have shown that this could be due to the presence of a large number of adjustable parameters whose values are obtained through regression with experimental data. To test this assertion, we carry out a systematic and rigorous study of the performance of various models of vdWP theory that have been proposed over the years. The hydrate phase equilibrium data used for this study is obtained from Monte Carlo molecular simulations of methane hydrates. The parameters of the vdWP theory are regressed from this equilibrium data and compared with their true values obtained directly from simulations. This comparison reveals that (i) methane-water interactions beyond the first cage and methane-methane interactions make a significant contribution to the partition function and thus cannot be neglected, (ii) the rigorous Monte Carlo integration should be used to evaluate the Langmuir constant instead of the spherical smoothed cell approximation, (iii) the parameter values describing the methane-water interactions cannot be correctly regressed from the equilibrium data using the vdVVP theory in its present form, (iv) the regressed empty hydrate property values closely match their true values irrespective of the level of rigor in the theory, and (v) the flexibility of the water lattice forming the hydrate phase needs to be incorporated in the vdWP theory. Since methane is among the simplest of hydrate forming molecules, the conclusions from this study should also hold true for more complicated hydrate guest molecules.

Prediction of the stiffness of nanoclay-polypropylene composites using a monte carlo finite element analysis approach

The present work deals with the prediction of stiffness of an Indian nanoclay-reinforced polypropylene composite (that can be termed as a nanocomposite) using a Monte Carlo finite element analysis (FEA) technique. Nanocomposite samples are at first prepared in the laboratory using a torque rheometer for achieving desirable dispersion of nanoclay during master batch preparation followed up with extrusion for the fabrication of tensile test dog-bone specimens. It has been observed through SEM (scanning electron microscopy) images of the prepared nanocomposite containing a given percentage (3–9% by weight) of the considered nanoclay that nanoclay platelets tend to remain in clusters. By ascertaining the average size of these nanoclay clusters from the images mentioned, a planar finite element model is created in which nanoclay groups and polymer matrix are modeled as separate entities assuming a given homogeneous distribution of the nanoclay clusters. Using a Monte Carlo simulation procedure, the distribution of nanoclay is varied randomly in an automated manner in a commercial FEA code, and virtual tensile tests are performed for computing the linear stiffness for each case. Values of computed stiffness modulus of highest frequency for nanocomposites with different nanoclay contents correspond well with the experimentally obtained measures of stiffness establishing the effectiveness of the present approach for further applications.

Monte-Carlo simulation of surface crack growth rate for offshore structural steel E36-Z35

The Monte- Carlo method is used to simulate the surface fatigue crack growth rate for offshore structural steel E36-Z35, and to determine the distributions and relevance of the parameters in the Paris equation. By this method, the time and cost of fatigue crack propagation testing can be reduced. The application of the method is demonstrated by use of four sets of fatigue crack propagation data for offshore structural steel E36-Z35. A comparison of the test data with the theoretical prediction for surface crack growth rate shows the application of the simulation method to the fatigue crack propagation tests is successful.

Development of a Cell Size Relaxed Scheme for the Direct Simulation Monte Carlo Method

The conventional direct simulation Monte Carlo (DSMC) method has a strong restriction on the cell size because simulated particles are selected randomly within the cell for collisions. Cells with size larger than the molecular mean free path are generally not allowed in correct DSMC simulations. However, the cell-size induced numerical error can be controlled if the gradients of flow properties are properly involved during collisions. In this study, a large cell DSMC scheme is proposed to relax the cell size restriction. The scheme is applied to simulate several test problems and promising results are obtained even when the cell size is greater than 10 mean free paths of gas molecules. However, it is still necessary, of course, that the cell size be small with respect to the flow field structures that must be resolved.

The stochastic implicit Euler method - A stable coupling scheme for Monte Carlo burnup calculations

Existing Monte Carlo burnup codes use various schemes to solve the coupled criticality and burnup equations. Previous studies have shown that the coupling schemes of the existing Monte Carlo burnup codes can be numerically unstable. Here we develop the Stochastic Implicit Euler method - a stable and efficient new coupling scheme. The implicit solution is obtained by the stochastic approximation at each time step. Our test calculations demonstrate that the Stochastic Implicit Euler method can provide an accurate solution to problems where the methods in the existing Monte Carlo burnup codes fail. © 2013 Elsevier Ltd. All rights reserved.

The application of a Trous wave filtering and Monte Carlo analysis on secis 2001 solar eclipse observations

Eight thousand images of the solar corona were captured during the June 2001 total solar eclipse. New software for the alignment of the images and an automated technique for detecting intensity oscillations using multi-scale wavelet analysis were developed. Large areas of the images covered by the Moon and the upper corona were scanned for oscillations and the statistical properties of the atmospheric effects were determined. The a Trous wavelet transform was used for noise reduction and Monte Carlo analysis as a significance test of the detections. The effectiveness of those techniques is discussed in detail.

Anisotropic seismic inversion using a multigrid Monte Carlo approach

We propose a new approach for the inversion of anisotropic P-wave data based on Monte Carlo methods combined with a multigrid approach. Simulated annealing facilitates objective minimization of the functional characterizing the misfit between observed and predicted traveltimes, as controlled by the Thomsen anisotropy parameters (epsilon, delta). Cycling between finer and coarser grids enhances the computational efficiency of the inversion process, thus accelerating the convergence of the solution while acting as a regularization technique of the inverse problem. Multigrid perturbation samples the probability density function without the requirements for the user to adjust tuning parameters. This increases the probability that the preferred global, rather than a poor local, minimum is attained. Undertaking multigrid refinement and Monte Carlo search in parallel produces more robust convergence than does the initially more intuitive approach of completing them sequentially. We demonstrate the usefulness of the new multigrid Monte Carlo (MGMC) scheme by applying it to (a) synthetic, noise-contaminated data reflecting an isotropic subsurface of constant slowness, horizontally layered geologic media and discrete subsurface anomalies; and (b) a crosshole seismic data set acquired by previous authors at the Reskajeage test site in Cornwall, UK. Inverted distributions of slowness (s) and the Thomson anisotropy parameters (epsilon, delta) compare favourably with those obtained previously using a popular matrix-based method. Reconstruction of the Thomsen epsilon parameter is particularly robust compared to that of slowness and the Thomsen delta parameter, even in the face of complex subsurface anomalies. The Thomsen epsilon and delta parameters have enhanced sensitivities to bulk-fabric and fracture-based anisotropies in the TI medium at Reskajeage. Because reconstruction of slowness (s) is intimately linked to that epsilon and delta in the MGMC scheme, inverted images of phase velocity reflect the integrated effects of these two modes of anisotropy. The new MGMC technique thus promises to facilitate rapid inversion of crosshole P-wave data for seismic slownesses and the Thomsen anisotropy parameters, with minimal user input in the inversion process.