Search All of the Math Forum:
Views expressed in these public forums are not endorsed by
NCTM or The Math Forum.



Re: MONTE CARLO
Posted:
Jul 31, 2013 10:17 AM


Ok i try the quadgk
thank you veru much
bartekltg <bartekltg@gmail.com> wrote in message <ktarnp$144$1@node2.news.atman.pl>... > W dniu 20130731 10:59, george veropoulos pisze: > > Dear friend > > > > I would like find the integral > > > > fxi(x)=integral{a(x)}{b(x)} {1/w *fE0(w)*fz(x/w)}dw > > > > a(x) , b(x) is the limits of integration > > fE0(w) is distribution of random variable E0 > > fz(x/w) is distribution of random variable z > > so fE0(w) fz(x/w) are just functions of w. > > > there a methods like monte carlo to find this integral > > because is veru difficult to applied a classical methids like quadl > > Why it is difficult? How you function look like? > > Classical method is way better than MC in one dimension! > > When function is smooth, use quadgk. This is very powerful > 15th order GaussKronrod formula. > > If there is 'problem' for some "w"s, like uncontinuous nth derivatives > (n<15 :), use waypoints. > > bartekltg >



