第八章MonteCarlo积分.pptVIP

Monte Carlo模拟 第四章 Monte Carlo积分 第四章 Monte Carlo积分 第四章 Monte Carlo积分 第四章 Monte Carlo积分 第四章 Monte Carlo积分 Monte Carlo模拟 第四章 Monte Carlo积分 1. Hit-or-Miss Method 1. Hit-or-Miss Method 1. Hit-or-Miss Method 1. Hit-or-Miss Method 1. Hit-or-Miss Method 1. Hit-or-Miss Method 1. Hit-or-Miss Method Monte Carlo模拟 第四章 Monte Carlo积分 2. Sample Mean Method 2. Sample Mean Method 2. Sample Mean Method 2. Sample Mean Method 2. Sample Mean Method 2. Sample Mean Method 2. Sample Mean Method 2. Sample Mean Method 2. Sample Mean Method 2. Sample Mean Method 2. Sample Mean Method Monte Carlo模拟 第四章 Monte Carlo积分 3. Variance reduction: Importance Sampling Method 3. Variance reduction: Importance Sampling Method 3. Variance reduction: Importance Sampling Method 3. Variance reduction: Importance Sampling Method 3. Variance reduction: Importance Sampling Method 3. Variance reduction: Importance Sampling Method 3. Variance reduction:Importance Sample Method 3. Variance reduction:Importance Sample Method 3. Variance reduction:Importance Sample Method 3. Variance reduction:Importance Sample Method Monte Carlo模拟 第四章 Monte Carlo积分 4. Correlation methods for Variance reduction 4. Correlation methods for Variance reduction 4. Correlation methods for Variance reduction 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