Monte Carlo Integration

# Monte Carlo Integration

## Monte Carlo Integration

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##### Presentation Transcript

1. Monte Carlo Integration Robert Lin April 20, 2004

2. Outline • Integration Applications • Random variables, probability, expected value, variance • Integration Approximation • Monte Carlo Integration • Variance Reduction (sampling methods)

3. Integration Applications • Antialiasing

4. Integration Applications • Soft Shadows

5. Integration Applications • Indirect Lighting

6. Random Variables, Probability Density Function • Continuous random variable x: scalar or vector quantity that randomly takes on a value (-∞,+∞) • Probability Density Function p associated with x (denoted x ~ p) describes the distribution of x: • Properties:

7. Random Variables, Probability Density Function • Example: Let ε be a random variable taking on values [0, 1) uniformly • Probability Density Function ε~ q • Probability that ε takes on a certain value [a, b] in [0, 1) is

8. Expected Value • The average value of a function f(x) with probability distribution function (pdf) p(x) is called the expected value: • The expected value of a 1D random variable can be calculated by letting f(x) = x. • Expected Value Properties: 1. 2.

9. Multidimensionality • Random variables and expected values can be extended to multiple dimensions easily • Let S represent a multidimensional space with measure μ • Let x be a random variable with pdf p • Probability that x takes on a value in region in Si, a subset of S, is

10. Multidimensionality • Example: • Let α be a 2D random variable uniformly distributed on a disk of radius R • p(α) = 1 / (πR2)

11. Multidimensionality • Example • Given a unit square S = [0, 1] x [0, 1] • Given pdf p(x, y) = 4xy • The expected value of the x coordinate is found by setting f(x, y) = x:

12. Variance • The variance of a random variable is defined as the expected value of the square of the difference between x and E(x). • Some algebra lets us convert this to the form:

13. Integration Problems • Integrals for rendering can be difficult to evaluate • Multi-dimensional integrals • Non-continuous functions • Highlights • Occluders

14. Integration Approximation • How to evaluate integral of f(x)?

15. Integration Approximation • Can approximate using another function g(x)

16. Integration Approximation • Can approximate by taking the average value

17. Integration Approximation • Estimate the average by taking N samples

18. Monte Carlo Integration • Im = Monte Carlo estimate • N = number of samples • x1, x2, …, xN are uniformly distributed random numbers between a and b

19. Monte Carlo Integration

20. Monte Carlo Integration • We have the definition of expected value and how to estimate it. • Since the expected value can be expressed as an integral, the integral is also approximated by the sum. • To simplify the integral, we can substitute g(x) = f(x)p(x).

21. Variance • The variance describes how much the sampled values vary from each other. • Variance proportional to 1/N

22. Variance • Standard Deviation is just the square root of the variance • Standard Deviation proportional to 1 / sqrt(N) • Need 4X samples to halve the error

23. Variance • Problem: • Variance (noise) decreases slowly • Using more samples only removes a small amount of noise

24. Variance Reduction • There are several ways to reduce the variance • Importance Sampling • Stratified Sampling • Quasi-random Sampling • Metropolis Random Mutations

25. Importance Sampling • Idea: use more samples in important regions of the function • If function is high in small areas, use more samples there

26. Importance Sampling • Want g/p to have low variance • Choose a good function p similar to g:

27. Stratified Sampling • Partition S into smaller domains Si • Evaluate integral as sum of integrals over Si • Example: jittering for pixel sampling • Often works much better than importance sampling in practice

28. Examples

29. Examples

30. Conclusion • Monte Carlo Integration Pros • Good to estimate integrals with many dimensions • Good to estimate integrals with complex functions • General integration method with many applications • Monte Carlo Integration Cons • Variance reduces slowly (error appears as noise) • Reduce variance with importance sampling, stratified sampling, etc. • Can use other methods (filtering) to remove noise

31. References • Peter Shirley, R. Keith Morley. Realistic Ray Tracing, Natick, MA: A K Peters, Ltd., 2003, pages 47-51, 145-154. • Henrik Wann Jensen. Realistic Image Synthesis Using Photon Mapping, Natick, MA: A K Peters, Ltd., 2001, pages 153-155. • Pat Hanrahan. Monte Carlo Integration 1 (Lecture Notes): http://graphics.stanford.edu/courses/cs348b-02/lectures/lecture6 • Thomas Funkhouser, Monte Carlo Integration For Image Synthesis: http://www.cs.princeton.edu/courses/archive/fall02/cs526/lectures/montecarlo.pdf • Eric Veach. Robust Monte Carlo Methods for Light Transport Simulation. Ph.D Thesis, Stanford University, Dec 1997.