Monte_Carlo积分计算.pptVIP

第九章 Monte Carlo积分 第九章 Monte Carlo积分 第九章 Monte Carlo积分 第九章 Monte Carlo积分 第九章 Monte Carlo积分 Hit-or-Miss Method Hit-or-Miss Method Hit-or-Miss Method Hit-or-Miss Method Hit-or-Miss Method 第九章 Monte Carlo积分 Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method Sample Mean Method 2.1 Variance Reduction Technique - Introduction 第九章 Monte Carlo积分 Variance Reduction Technique Monte Carlo Method and Sampling Distribution Monte Carlo Method : Take values from random sample From central limit theorem, 3s rule Most probable error Important characteristics Variance Reduction Technique Reducing error *100 samples reduces the error order of 10 Reducing variance ? Variance Reduction Technique The value of variance is closely related to how samples are taken Unbiased sampling Biased sampling More points are taken in important parts of the population Variance Reduction Technique If we are using sample-mean Monte Carlo Method Variance depends very much on the behavior of r(x) r(x) varies little ? variance is small r(x) = const ? variance=0 Evaluation of a integral Near minimum points ? contribute less to the summation Near maximum points ? contribute more to the summation More points are sampled near the peak ?”importance sampling strategy” 第九章 Monte Carlo积分 Variance Reduction Technique Variance Reduction Technique Variance Reduction Technique Error Analysis Variance Reduction Technique 第九章 Monte Carlo积分 Importance Sampling Method Basic idea Put more points near maximum Put less points near minimum F(x) : transformation function (or weight function_ Importance Sampling Method Importance Sampling Method Importance Sampling Method 1.2 Hit-or-Miss Method 1.3 Sample Mean Method 2.1 Variance Reduction Technique 2.3 Variance Reduction using Rejection Technique 2.4 Importance Samplin