蒙特卡罗方法(MonteCarlosimulation)-HEPG.pptVIP

Monte Carlo模拟 Monte Carlo模拟 Monte Carlo模拟 引言(introduction) 均匀随机数的产生(Random number generation) 任意分布的随机变量的抽样 Monte Carlo积分法 常用Monte Carlo模拟软件的使用 * * Monte Carlo模拟 Monte Carlo模拟 第一章 引言 （Introduction) Monte Carlo方法 Monte Carlo方法简史 Monte Carlo模拟的应用 Monte Carlo算法的主要组成部分 * * Monte Carlo模拟 1.Monte Carlo方法 * * Monte Carlo模拟 Monte Carlo方法： 亦称统计模拟方法（statistical simulation method） 一种采用统计抽样理论近似地求解物理或数学问题的方法 1.Monte Carlo方法 * * Monte Carlo模拟 基本思想： 建立与待解问题相似或相关联的概率模型或概率过程，利用这种相似性把概率模型的某些特征量与待求解问题的解联系起来： 概率模型： 待求解问题的解： 随机事件的概率 定积分的值 随机变量的数学期望值 微分方程的解 对概率模型进行随机模拟或统计抽样，用所得样本得到这些特征量的估计值?问题的近似解 Monte Carlo模拟 第一章 引言 （Introduction) Monte Carlo方法 Monte Carlo方法简史 Monte Carlo模拟的应用 Monte Carlo算法的主要组成部分 * * Monte Carlo模拟 2.Monte Carlo方法简史 * * Monte Carlo模拟 Buffon投针实验 1768年，法国数学家Comte de Buffon利用投针实验估计?的值 d L 2.Monte Carlo方法简史 * * Monte Carlo模拟 Problem of Buffon’s needle: If a needle of length l is dropped at random on the middle of a horizontal surface ruled with parallel lines a distance d l apart, what is the probability that the needle will cross one of the lines? 2.Monte Carlo方法简史 * * Monte Carlo模拟 Solution: The positioning of the needle relative to nearby lines can be described with a random vector which has components: The random vector is uniformly distributed on the region [0,d)×[0,?). Accordingly, it has probability density function 1/d?. The probability that the needle will cross one of the lines is given by the integral 2.Monte Carlo方法简史 * * Monte Carlo模拟 1930年,利用Monte Carlo方法研究中子的扩散 Enrico Fermi 并设计了一个Monte Carlo机械装置，Fermiac,用于计算核反应堆的临界状态 2.Monte Carlo方法简史 * * Monte Carlo模拟 Stanislaw Ulam (1909-1984) S. Ulam is credited as the inventor of Monte Carlo method in 1940s, which solves mathematical problems using statistical sampling. 2.Monte Carlo方法简史 * * Monte Carlo模拟 Nicholas Metropolis (1915-1999) The algorithm by Metropolis (and A Rosenbluth, M Rosenbluth, A Teller and E Teller, 1953) has been cited as among the top 10 algorithms having the greatest influence on the development an