確率過程のシミュレーション

Simulate sample paths from stochastic processes -- including discrete Markov chains, continuous-time processes, stochastic differential equations, and MCMC samplers -- with convergence diagnostics, variance reduction techniques, and trajectory visualization.

使用タイミング

• You need to generate sample paths from a stochastic process for estimation, prediction, or visualization
• Analytical solutions are intractable and simulation is the only feasible approach
• You are running Monte Carlo estimation and need convergence guarantees and uncertainty quantification
• You want to validate analytical results (stationary distributions, hitting times) against empirical simulation
• You need to sample from a complex posterior distribution using MCMC
• You are prototyping a stochastic model before committing to full analytical treatment

入力

Required

Input	Type	Description
process_type	string	Type of process: "dtmc", "ctmc", "random_walk", "brownian_motion", "sde", "mcmc"
parameters	dict	Process-specific parameters (transition matrix, drift/diffusion coefficients, target density, etc.)
n_paths	integer	Number of independent sample paths to simulate
n_steps	integer	Number of time steps per path (or total MCMC iterations)

Optional

Input	Type	Default	Description
initial_state	scalar/vector	process-specific	Starting state or distribution for each path
dt	float	0.01	Time step size for continuous-time discretization
seed	integer	random	Random seed for reproducibility
burn_in	integer	n_steps / 10	Number of initial steps to discard (MCMC)
thinning	integer	1	Keep every k-th sample to reduce autocorrelation
variance_reduction	string	"none"	Method: "none", "antithetic", "stratified", "control_variate"
target_function	callable	none	Function to evaluate along paths for Monte Carlo estimation

手順

ステップ1: Define Process Model and Parameters

1.1. Identify the process type and gather all required parameters:

• DTMC: Transition matrix P and state space. Validate P is row-stochastic.
• CTMC: Rate matrix Q. Validate rows sum to 0 and off-diagonal entries are non-negative.
• Random walk: Step distribution (e.g., {-1, +1} with equal probability), boundaries if any.
• Brownian motion: Drift mu, volatility sigma, dimension d.
• SDE (Ito): Drift function a(x,t), diffusion function b(x,t).
• MCMC: Target log-density, proposal mechanism (random walk Metropolis, Hamiltonian, Gibbs components).

1.2. Validate parameter consistency:

• Matrix dimensions match state space size.
• SDE coefficients satisfy growth and Lipschitz conditions (at least informally) for the chosen solver.
• MCMC proposal is well-defined for the support of the target distribution.

1.3. Set the random seed for reproducibility.

期待結果: A fully specified stochastic model with validated parameters and a reproducible random state.

失敗時: If parameters are inconsistent (e.g., non-stochastic matrix), correct them before proceeding. If SDE coefficients are pathological, consider a different discretization scheme.

ステップ2: Select Simulation Method

2.1. Choose the appropriate algorithm based on process type:

Process	Method	Key Property
DTMC	Direct sampling from transition row	Exact
CTMC	Gillespie algorithm (SSA)	Exact, event-driven
CTMC (approx.)	Tau-leaping	Approximate, faster for high rates
Random walk	Direct sampling of increments	Exact
Brownian motion	Cumulative sum of Gaussian increments	Exact for fixed dt
SDE (general)	Euler-Maruyama	Order 0.5 strong, order 1.0 weak
SDE (higher order)	Milstein	Order 1.0 strong (scalar noise)
SDE (stiff)	Implicit Euler-Maruyama	Stable for stiff drift
MCMC (general)	Metropolis-Hastings	Asymptotically exact
MCMC (gradient)	Hamiltonian Monte Carlo (HMC)	Better mixing for high dimensions
MCMC (conditional)	Gibbs sampler	Exact conditionals when available

2.2. For SDE methods, choose dt small enough for numerical stability. A useful heuristic: start with dt = 0.01 and halve it until results stabilize.

2.3. For MCMC, tune the proposal scale to achieve an acceptance rate of approximately:

• 23.4% for high-dimensional random walk Metropolis
• 57.4% for one-dimensional targets
• 65-90% for HMC (depends on trajectory length)

2.4. If variance reduction is requested, configure it:

• Antithetic variates: For each path with random increments Z, also simulate with -Z.
• Stratified sampling: Partition the probability space and sample within each stratum.
• Control variates: Identify a correlated quantity with known expectation to reduce variance.

期待結果: A selected simulation algorithm matched to the process type with appropriate tuning parameters.

失敗時: If the chosen method is unstable (e.g., Euler-Maruyama diverging), switch to an implicit method or reduce dt.

ステップ3: Implement and Run Simulation

3.1. Allocate storage for n_paths trajectories, each of length n_steps (or dynamically for event-driven methods like Gillespie).

3.2. For each path i = 1, ..., n_paths:

DTMC / Random Walk:

• Set x[0] = initial_state
• For t = 1, ..., n_steps: sample x[t] from the transition distribution given x[t-1]

CTMC (Gillespie):

• Set x[0] = initial_state, time = 0
• While time < T_max:
  • Compute total rate lambda = -Q[x, x]
  • Sample holding time tau ~ Exp(lambda)
  • Sample next state from transition probabilities Q[x, j] / lambda for j != x
  • Update time += tau, record transition

SDE (Euler-Maruyama):

• Set x[0] = initial_state
• For t = 1, ..., n_steps:
  • dW = sqrt(dt) * N(0, I) (Wiener increment)
  • x[t] = x[t-1] + a(x[t-1], t*dt) * dt + b(x[t-1], t*dt) * dW

MCMC (Metropolis-Hastings):

• Set x[0] = initial_state
• For t = 1, ..., n_steps:
  • Propose x' ~ q(x' | x[t-1])
  • Compute acceptance ratio alpha = min(1, p(x') * q(x[t-1]|x') / (p(x[t-1]) * q(x'|x[t-1])))
  • Accept with probability alpha: x[t] = x' if accepted, else x[t] = x[t-1]
  • Record acceptance decision

3.3. If target_function is provided, evaluate it at each state along each path and store the values.

3.4. Apply thinning: keep every thinning-th sample.

3.5. Discard burn_in samples from the beginning of each path (primarily for MCMC).

期待結果: n_paths complete trajectories stored in memory, with optional function evaluations. MCMC acceptance rate is within the target range.

失敗時: If simulation produces NaN or Inf values, reduce dt for SDE methods or check parameter validity. If MCMC acceptance rate is near 0% or 100%, adjust proposal scale.

ステップ4: Apply Convergence Diagnostics

4.1. Trace plots: Plot the value of each component over time for a subset of paths. Visual inspection for stationarity (no trends, stable variance).

4.2. Gelman-Rubin diagnostic (R-hat): For MCMC with multiple chains:

• Compute within-chain variance W and between-chain variance B.
• R_hat = sqrt((n-1)/n + B/(n*W))
• Convergence indicated by R_hat < 1.01 (strict) or R_hat < 1.1 (lenient).

4.3. Effective sample size (ESS):

• Estimate autocorrelation at increasing lags.
• ESS = n_samples / (1 + 2 * sum(autocorrelations))
• Rule of thumb: ESS > 400 for reliable posterior summaries.

4.4. Geweke diagnostic: Compare the mean of the first 10% and last 50% of each chain. The z-score should be within [-2, 2] for convergence.

4.5. For non-MCMC processes: Verify that time-averaged statistics (mean, variance) stabilize as path length increases. Plot running averages.

4.6. Report a summary table:

Diagnostic	Value	Threshold	Status
R-hat (max)	...	< 1.01	...
ESS (min)	...	> 400	...
Geweke z (max abs)	...	< 2.0	...
Acceptance rate	...	0.15-0.50	...

期待結果: All convergence diagnostics pass their thresholds. Trace plots show stable, well-mixing chains.

失敗時: If R-hat > 1.1, run longer chains or improve the proposal. If ESS is very low, increase thinning or switch to a better sampler (e.g., HMC). If Geweke fails, extend burn-in.

ステップ5: Compute Summary Statistics with Confidence Intervals

5.1. For each quantity of interest (state occupancy, function expectation, hitting times):

• Compute the point estimate as the sample mean across paths (after burn-in and thinning).
• Compute the standard error using the effective sample size: SE = SD / sqrt(ESS).

5.2. Construct confidence intervals:

• Normal approximation: estimate +/- z_{alpha/2} * SE
• For skewed distributions, use percentile bootstrap or batch means.

5.3. If variance reduction was applied, compute the variance reduction factor:

• VRF = Var(naive estimator) / Var(reduced estimator)
• Report the effective speedup.

5.4. For Monte Carlo integration estimates:

• Report the estimate, standard error, 95% CI, ESS, and number of function evaluations.

5.5. For distribution estimates:

• Compute empirical quantiles (median, 2.5th, 97.5th percentiles).
• Kernel density estimates for continuous quantities.

5.6. Tabulate all summary statistics with their uncertainties.

期待結果: Point estimates with associated standard errors and confidence intervals. Variance reduction (if applied) yields a VRF > 1.

失敗時: If confidence intervals are too wide, increase n_paths or n_steps. If variance reduction worsens estimates (VRF < 1), disable it -- the control variate or antithetic scheme may not suit the problem.

ステップ6: Visualize Trajectories and Distributions

6.1. Trajectory plots: Plot a representative subset of sample paths (5-20 paths) over time. Use transparency for overlapping paths.

6.2. Ensemble statistics: Overlay the mean trajectory and pointwise 95% confidence bands across all paths.

6.3. Marginal distributions: At selected time points, plot histograms or density estimates of the state distribution across paths.

6.4. Stationary distribution comparison: If an analytical stationary distribution is available, overlay it on the empirical histogram from the final time slice.

6.5. Autocorrelation plots: For MCMC, plot the autocorrelation function (ACF) for each component up to a reasonable lag.

6.6. Diagnostic dashboard: Combine trace plots, ACF plots, running mean plots, and marginal densities into a single multi-panel figure for comprehensive assessment.

6.7. Save all figures in both vector (PDF/SVG) and raster (PNG) formats for documentation.

期待結果: Publication-quality figures showing trajectory behavior, distributional convergence, and diagnostic summaries. Analytical solutions (where available) match empirical results.

失敗時: If visualizations reveal non-stationarity or multimodality not expected from the model, revisit Steps 1-2 for parameter or method errors. If plots are cluttered, reduce the number of displayed paths or increase figure size.

バリデーション

• All simulated trajectories remain in the valid state space (no out-of-bounds values, no NaN/Inf)
• For DTMC/CTMC: empirical stationary distribution converges to the analytical one (within expected Monte Carlo error)
• For SDE: halving dt does not qualitatively change the results (convergence order check)
• For MCMC: R-hat < 1.01, ESS > 400, Geweke z-scores within [-2, 2]
• Confidence interval widths decrease proportionally to 1/sqrt(n_paths) (central limit theorem)
• Variance reduction techniques yield VRF > 1 (estimates improve, not worsen)
• Reproducibility: re-running with the same seed produces identical results

よくある落とし穴

• Insufficient burn-in for MCMC: Starting from a poor initial state requires a long burn-in before samples represent the target distribution. Always inspect trace plots and use convergence diagnostics rather than guessing the burn-in length.
• Euler-Maruyama instability for stiff SDEs: If the drift term has large gradients, explicit Euler-Maruyama can diverge. Switch to implicit methods or use adaptive step sizing.
• Confusing strong and weak convergence for SDEs: Strong convergence measures pathwise error (important for individual trajectories); weak convergence measures distributional error (sufficient for expectations). Euler-Maruyama has weak order 1.0 but strong order 0.5.
• Pseudorandom number generator quality: For very long simulations, low-quality RNGs can produce correlated samples. Use a well-tested generator (Mersenne Twister, PCG, or Xoshiro) and verify independence.
• Ignoring autocorrelation in MCMC: Treating autocorrelated MCMC samples as independent underestimates uncertainty. Always use effective sample size, not raw sample count, for standard errors.
• Antithetic variates for non-monotone functions: Antithetic sampling reduces variance only when the estimand is a monotone function of the underlying uniforms. For non-monotone functions, it can increase variance.
• Memory for large simulations: Storing all time steps of many long paths can exhaust memory. Use online statistics (running mean, variance) when full trajectories are not needed for visualization.

関連スキル

• Model Markov Chain -- provides the transition matrices and analytical solutions that simulation validates
• Fit Hidden Markov Model -- simulation from fitted HMMs enables posterior predictive checking and synthetic data generation