MonteCarlo方法和其应用.pdfVIP

第1 期 统计教育 No. 1 （总第112 期） (Series No. 112) 2009 年1 月 Statistical Thinktank Jan 2009 Monte Carlo 方法及其应用 曲双石 王会娟 摘 要：本文首先介绍了Monte Carlo 方法的产生和发展。在第二部分给出了Monte Carlo 方法对定积分进行近似 计算的两种方法：随机投点法和样本平均值法，其中对样本平均值法，在借助于产生服从标准指数分布和标准正 态分布随机数的基础上，将其推广到被积区间为无穷的情况分别加以讨论。上述两种方法分别给与实例，利用 Mat lab 编程进行了求解和误差分析。第三部分本文进一步用Monte Carlo 方法解决n 维定积分问题，进行了误差 分析，并给出实例。第四部分介绍了Monte Carlo 方法在计算概率时的应用，对两个具体的例子用此方法在Mat lab 帮助下求解，并通过与用公式计算的精确结果，比较说明Monte Carlo 方法在计算概率问题中的有效性。 关键词：Monte Carlo 方法；随机投点法；样本平均值法；Mat lab 编程；概率计算 Monte Carlo Method and its Applications Qv Shuangshi Wang Huijuan Abstract: First, this paper introduces the initiation and development of Monte Carlo method. In the second part, two methods of Monte Carlo are given to simulate computing integral: pelting randomly method and sample average method. Particularly,in terms of sample average method, with the random numbers generating from Exp (0,1) and N (0,1), we extend usual integral to the unlimited integral area. We also give some examples on using Mat lab to compute and analyze the error. In the third part, we continue to talk about how to solve the integral of n determines by Monte Carlo, and analyze the error and give some examples. In the forth part, we introduce Monte Carlo methods application in computing probability. Also to two particular examples, we use Monte Carlo method and Mat lab to compute them. Comparing to the exact results, we can see the efficiency in using Monte Carlo to solve the probability problems. Key words: Monte Carlo method; pelting randomly method; sample average metho