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Monte Carlo integration, algorithm

The algorithm is as follows

  • Choose the number of Monte Carlo samples N .
  • Perform a loop over N and for each step generate a random number x_i in the interval [0,1] through a call to a random number generator.
  • Use this number to evaluate f(x_i) .
  • Evaluate the contributions to the mean value and the standard deviation for each loop.
  • After N samples calculate the final mean value and the standard deviation.