Monte Carlo integration � a case-study for simulation

• Autores: Stefan Ritter
• Localización: International journal of mathematical education in science and technology, ISSN 0020-739X, Vol. 45, Nº. 1, 2014, págs. 131-145
• Idioma: inglés
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• Resumen

  • The Monte Carlo integration is a classic example of a stochastic simulation, suitable for teaching in schools and colleges. First, we consider the generation of random numbers. Then, two approaches to Monte Carlo integration are discussed and the convergence of both methods is investigated. Numerical computations are carried out with Matlab and methods for variance reduction are presented.