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I am writing a simulation for a discrete stochastic dynamical system. Since the simulation is stochastic, I need to run the simulation multiple times and then average the values of each timestep. I have some simple julia code below to demonstrate the process.

My question was really about numerical stability when averaging data from say 100, 1000, 10000 simulations. The simulation is discrete and not continuous, so I don't need to worry as much about the fine grained discretization, where error accumulation really matters. But, I was not sure if there are issues with round-off error accumulating over time even for something as simple as a mean?

In the code below, I keep a running mean of some simulation output v. So for each run through the simulation, I just take the average of the running mean and the new value--in this case a random number rand(). Is this a numerically stable way to do this, or do I need to allocate and save each simulation to some large array or file, and then average them at the end?

n2 = 5
v = 0.0
for i in 1:n2
    v = mean([v, rand()])
end

Any suggestions would really be appreciated. I am trying to find the right balance between numerical stability versus limiting unnecessary allocations of memory. Thanks.

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    $\begingroup$ The formula for your running mean is not correct. With each new sample, you are averaging the previous average and the new value, but you need to weigh the previous average with the number of previously seen samples from which it was computed. The correct formula is $\bar x_n = \frac{n-1}{n} \bar x_{n-1} + \frac{1}{n} x_n$. $\endgroup$ Dec 14 '20 at 18:12
  • $\begingroup$ @WolfgangBangerth Oh thanks so much for correcting my formula. es, I have seen this formula mentioned before, but I did not connect it with my own code. Thanks for setting me straight. $\endgroup$
    – krishnab
    Dec 14 '20 at 19:37
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It turns out that stable summation of numbers is a topic that is still being researched today -- but you can get the basics by looking up "Kahan's summation algorithm".

That said, there really is only a stability issue if you have numbers of widely varying size. In that case, you need to do the summation in a particular order -- intuitively from small to large -- to avoid catastrophic cancellation when you add a small number to an already large partial sum. But it seems like that will not actually be a problem for you: it may be if you add up random numbers, but one might suspect that the numbers you get out of your simulations are all of roughly the same order of magnitude, and in that case you can just add them up one after the other. That has the advantage that you don't have to store any numbers but just the current running sum or the current running average.

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    $\begingroup$ thanks so much for the insight. That makes sense, as long as the order of magnitude between elements that I am averaging stays the same, I should not encounter numerical issues. In my case you are correct, I am not averaging big numbers with small numbers. But now I know what to do when I encounter that problem in the future. Thanks again. $\endgroup$
    – krishnab
    Dec 14 '20 at 19:36

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