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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 3:56 PM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

?? im trying a classical method and i will see...

thank you again for your reply

george
bartekltg <bartekltg@gmail.com> wrote in message <ktbbgp$1rv$1@node1.news.atman.pl>...
> W dniu 2013-07-31 16:23, george veropoulos pisze:
>

> > 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
> >>

>
>

> > a problem is the limits of intregration are not clear...
>
> I see limits are a(x) b(x). For every x we have clear limits.
>
> You also need clear limits for MC integration!
> The simplest (not the best:) way to do MC is:
>
> probes = a + rand(1000,1)*(b-a);
> mc_quadrature = sum(function ( probes))
> or, if your function can't handle vector input, using arrayfun
>
> As you see, wee neet to know limits.
>
> bartekltg
>
>




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