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Topic: MONTE CARLO
Replies: 5   Last Post: Jul 31, 2013 3:56 PM

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george veropoulos

Posts: 42
Registered: 6/26/10
Re: MONTE CARLO
Posted: Jul 31, 2013 10:23 AM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

a problem is the limits of intregration
are not clear...


bartekltg <bartekltg@gmail.com> wrote in message <ktarnp$144$1@node2.news.atman.pl>...
> W dniu 2013-07-31 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 Gauss-Kronrod formula.
>
> If there is 'problem' for some "w"s, like uncontinuous n-th derivatives
> (n<15 :), use waypoints.
>
> bartekltg
>




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