11/16/2022

Monte Carlo integration

• A probability result known as the strong law of large numbers enables us to approximate integrals using simulation methods.
• See Monte_Carlo_Integration.pdf and Monte_Carlo_Integration_Amy_Wagaman.Rmd in our Google Drive folder !Class Material for more details and examples.
• Steps involved in Monte Carlo integration:
  • Generate n uniform (0,1) random variables X1, X2, ..., Xn
  • Evaluate the function of interest, say g(X) at each Xi, giving g(X1), g(X2), ..., g(Xn)
  • Take the average as a Monte Carlo approximation of the integral

Lab time for project #3