4月 292011
 
We often simulate data in SAS or R to confirm analytical results. For example, consider the following problem from the excellent text by Rice:

Let U1, U2, and U3 be independent random variables uniform on [0, 1]. What is the probability that the roots of the quadratic U1*x^2 + U2*x + U3 are real?

Recall that for a quadratic equation A*x^2 + B*x + C to have real roots we need the discriminant (B^2-4AC) to be non-negative.

The answer given in the second and third editions of Rice is 1/9. Here's how you might get there:

Since, B^2 > 4*A*C <=> B > 2*sqrt(A*C), we need to integrate B over the range 2*sqrt(a*c) to 1, then integrate over all possible values for A and C (each from 0 to 1).

Another answer can be found by taking y = b^2 and w = 4ac and integrating over their joint distribution (they're independent, of course). That leads to an answer of approximately 0.254. Here's how to calculate this in R:

f = function(x) {
A = x[1]; B = x[2]; C = x[3];
return(as.numeric(B^2 > 4*A*C))
}
library(cubature)
adaptIntegrate(f, c(0,0,0), c(1,1,1), tol=0.0001, max=1000000)

which generates the following output:

$integral
[1] 0.2543692

$error
[1] 0.005612558

$functionEvaluations
[1] 999999

$returnCode
[1] -1

We leave the details of the calculations aside for now, but both seem equally plausible, at first glance. A quick simulation can suggest which is correct.

For those who want more details, here's a more complete summary of this problem and solution.

SAS

Neither the SAS nor the R code is especially challenging.


data test;
do trial = 1 to 10000;
u1 = uniform(0); u2 = uniform(0); u3 = uniform(0);
res = u2**2 - 4*u1*u3;
realroot = (res ge 0);
output;
end;
run;

proc print data=test (obs=10);
run;

proc means data=test;
var realroot;
run;

Leading to the result:

The MEANS Procedure

Analysis Variable : realroot

N Mean Std Dev Minimum Maximum
-----------------------------------------------------------------
10000 0.2556000 0.4362197 0 1.0000000
-----------------------------------------------------------------


R


numsim = 10000
u1 = runif(numsim); u2 = runif(numsim); u3 = runif(numsim)
res = u2^2 - 4*u1*u3
realroots = res>=0
table(realroots)/numsim

With the result

realroots
FALSE TRUE
0.747 0.253

The simulation demonstrates both that the first solution is incorrect. Here the simulation serves as a valuable check for complicated analysis.

Insights into where the 1/9 solution fails would be welcomed in the comments.

 Leave a Reply

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <s> <strike> <strong>

(required)

(required)