Loading [MathJax]/extensions/TeX/boldsymbol.js

 

 

 

First Illustration of the Use of Monte-Carlo Methods, integration

Setting h=(b-a)/N where b=1 , a=0 , we can then rewrite the above integral as \begin{equation*} I=\int_0^1 f(x)dx\approx \frac{1}{N}\sum_{i=1}^Nf(x_{i-1/2}), \end{equation*} where x_{i-1/2} are the midpoint values of x . Introducing the concept of the average of the function f for a given PDF p(x) as \begin{equation*} \langle f \rangle = \sum_{i=1}^Nf(x_i)p(x_i), \end{equation*} and identify p(x) with the uniform distribution, viz. p(x)=1 when x\in [0,1] and zero for all other values of x . The integral is is then the average of f over the interval x \in [0,1] \begin{equation*} I=\int_0^1 f(x)dx\approx \langle f \rangle. \end{equation*}