# That’s like so random! Monte Carlo for Data Science

Another great turnout at the DataPhilly meetup last night. Was great to see all you random data nerds!

Code snippets to generate animated examples here.

# Variable probability Bernoulli outcomes – Fast and Slow

I am working on a project that requires the generation of Bernoulli outcomes. Typically, I would go about this using the built in sample() function like so:

```sample(1:0,n,prob=c(p,1-p),replace=TRUE)
```

This works great and is fast, even for large n. Problem is, I want to generate each sample with its own unique probability. Seems straight forward enough, I just wrapped the function and vectorized to allow the passing of a vector of p.

```binomial_sampler<-function(p){
return(sample(1:0,1,prob=c(p,1-p)))
}
bs<-Vectorize(binomial_sampler)
```

Naming this function bs() turned out to be rather prophetic. Nevertheless, I can call this function by passing my unique vector of outcome probabilities. And indeed I get the result I’m looking for.

```bs(my_p_vec)
```

Problem is, this turns out to be very slow. It would seem that there is quite a bit of overhead to calling sample() for one sample at a time. R’s RNGs are very fast for generating many iid samples, so I started thinking like my old c++ programming self and tried a different approach.

```Nbs<-function(p)
{
U<-runif(length(p),0,1)
outcomes<-U<p
return(outcomes)
}
```

I call the new version Nbs for “New Bernoulli Sampler”, or “Not Bull Shit”. And what a difference it made indeed!

```library(rbenchmark)
p<-runif(1000)
res <- benchmark(bs(p), Nbs(p))
print(res)
test replications elapsed relative user.self sys.self user.child sys.child
2 Nbs(p)          100   0.007        1     0.008    0.000          0         0
1  bs(p)          100   1.099      157     1.080    0.016          0         0
```

157x faster! Now that’s a speedup to write home about.

Dan “The Man” Bernoulli

# Continuous dispersal on a discrete lattice

Dispersal is a key process in many domains, and particularly in ecology. Individuals move in space, and this movement can be modelled as a random process following some kernel. The dispersal kernel is simply a probability distribution describing the distance travelled in a given time frame. Since space is continuous, it is natural to use a continuous kernel. However, some modelling frameworks are formulated on a lattice, or discrete array of patches.

So how can we implement a continuous kernel in discrete space?

As with many modelling situations, we could approach this in a number of ways.  Here is the implementation that I can up with, and I welcome your suggestions, dear reader, for alternatives or improvements to this approach.

1. Draw a random variate d from the dispersal kernel.
2. Draw a uniform random number θ between 0 and 2π, which we will use to choose a direction.
3. Calculate the relative location (in continuous space) of the dispersed individuals using some trig:
x  = cos(θ) d
y = sin(θ) d
4. Determine the new location on the lattice for each individual by adding the relative x and y positions to the current location. Round these locations to the nearest integer and take the modulo of this integer and the lattice size. This creates a torus out of the lattice such that the outer edges loop back on each other. If you remember the old Donkey Kong games, you can think of this like how when you leave out the right side of the screen you enter from the left.

I implemented this approach in R as a function that takes in a population in a lattice, and returns a lattice with the dispersed population. The user can also specify which dispersal kernel to use. Here is the result using a negative-exponential kernel on a 50×50 lattice.

Created by iterating over the dispersal function:

```## General function to take in a lattice and disperse
## according to a user provided dispersal kernel
## Author: Corey Chivers
lat_disp<-function(pop,kernel,...)
{
lattice_size<-dim(pop)
new_pop<-array(0,dim=lattice_size)
for(i in 1:lattice_size[1])
{
for(j in 1:lattice_size[2])
{
N<-pop[i,j]
dist<-kernel(N,...)
theta<-runif(N,0,2*pi)
x<-cos(theta)*dist
y<-sin(theta)*dist

for(k in 1:N)
{
x_ind<-(round(i+x[k])-1) %% lattice_size[1] + 1
y_ind<-(round(j+y[k])-1) %% lattice_size[2] + 1
new_pop[x_ind,y_ind]<-new_pop[x_ind,y_ind]+1
}
}
}
return(new_pop)
}
```

For comparison, I also ran the same population using a Gaussian kernel. I defined the parameters of both kernels to have a mean dispersal distance of 1.

Here is the result using a Gaussian kernel:

The resulting population after 35 time steps has a smaller range than when using the exponential kernel, highlighting the importance of the shape of the dispersal kernel for spreading populations (remember that in both cases the average dispersal distance is the same).

Code for generating the plots:

```############## Run and plot #######################

## Custom colour ramp
colours<-c('grey','blue','black')
cus_col<-colorRampPalette(colors=colours, space = c("rgb", "Lab"),interpolate = c("linear", "spline"))

## Initialize population array
Time=35
pop<-array(0,dim=c(Time,50,50))
pop[1,25,25]<-10000

### Normal Kernel ###
par(mfrow=c(1,1))
for(i in 2:Time)
{
image(pop[i-1,,],col=cus_col(100),xaxt='n',yaxt='n')
pop[i,,]<-lat_disp(pop[i-1,,],kernel=rnorm,mean=0,sd=1)
}

## Plot
png('normal_kern.png', width = 800, height = 800)
par(mfrow=c(2,2),pty='s',omi=c(0.1,0.1,0.5,0.1),mar=c(2,0,2,0))
times<-c(5,15,25,35)
for(i in times)
image(pop[i-1,,],
col=cus_col(100),
xaxt='n',
yaxt='n',
useRaster=TRUE,
main=paste("Time =",i))

mtext("Gaussian Kernel",outer=TRUE,cex=1.5)
dev.off()

### Exponential Kernel ###
par(mfrow=c(1,1))
for(i in 2:Time)
{
image(pop[i-1,,],col=cus_col(100),xaxt='n',yaxt='n')
pop[i,,]<-lat_disp(pop[i-1,,],kernel=rexp,rate=1)
}

## Plot
png('exp_kern.png',  width = 800, height = 800)
par(mfrow=c(2,2),pty='s',omi=c(0.1,0.1,0.5,0.1),mar=c(2,0,2,0))
times<-c(5,15,25,35)
for(i in times)
image(pop[i-1,,],
col=cus_col(100),
xaxt='n',
yaxt='n',
useRaster=TRUE,
main=paste("Time =",i))

mtext("Exponential Kernel",outer=TRUE,cex=1.5)
dev.off()

############################################################
```