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Next: Quasi-Monte Carlo Integration Up: A Review of Monte Previous: Quasi-Random Walk Methods

Monte Carlo Integration

In order to evaluate an integral:


Monte-Carlo method offers the conversion of this problem into an equivalent expected value computation problem:


where p(x) is an arbitrary probability density function.

The expectation value, on the other hand, can be estimated from M samples tex2html_wrap_inline859 , generated with probability density function p:


Csébfalvi Balázs
Tue Apr 15 18:39:13 METDST 1997