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.