Monte-Carlo与积分计算电子教案.pptVIP

第九章

MonteCarlo积分

第九章MonteCarlo积分MonteCarlo法的重要应用领域之一：计算积分和多重积分适用于求解：被积函数、积分边界复杂，难以用解析方法或一般的数值方法求解；被积函数的具体形式未知，只知道由模拟返回的函数值。本章内容：用MonteCarlo法求定积分的几种方法：均匀投点法、期望值估计法、重要抽样法、半解析法、…

第九章MonteCarlo积分Goal:Evaluateanintegral:Whyuserandommethods?Computationby“deterministicquadrature”canbecomeexpensiveandinaccurate.gridpointsaddupquicklyinhighdimensionsbadchoicesofgridmaymisrepresentg(x)

第九章MonteCarlo积分MonteCarlomethodcanbeusedtocomputeintegralofanydimensiond(d-foldintegrals)Errorcomparisonofd-foldintegralsSimpson’srule,…purelystatistical,notrelyonthedimension!MonteCarlomethodWINS,whend3MonteCarlomethodapproximatingtheintegralofafunctionfusingquadraticpolynomials

第九章MonteCarlo积分

Hit-or-MissMethodEvaluationofadefiniteintegralabhXXXXXXOOOOOOOProbabilitythatarandompointresideinsidetheareaN:TotalnumberofpointsM:pointsthatresideinsidetheregion

Hit-or-MissMethod[a,b]x[0,h]TheprobabilitythatwearebelowthecurveisSo,ifwecanestimatep,wecanestimateI:whereisourestimateofp

Hit-or-MissMethodWecaneasilyestimatep:throwN“uniformdarts”attherectangleletletMbethenumberoftimesyouendupunder thecurvey=g(x)

Hit-or-MissMethodabhXXXXXXOOOOOOOStartSetN:largeintegerM=0Chooseapointxin[a,b]Chooseapointyin[0,h]if[x,y]resideinsidethenM=M+1I=(b-a)h(M/N)EndLoopNtimes

Hit-or-MissMethodErrorAnalysisoftheHit-or-MissMethodItisimportanttoknowhowaccuratetheresultofsimulationsarenotethatMisbinomial(M,p)

第九章MonteCarlo积分

StartSetN:largeintegers1=0,s2=0xn=(b-a)un+ayn=r(xn)s1=s1+yn,s2=s2+yn2Estimatemeanm’=s1/NEstimatevarianceV’=s2/N–m’2EndLoopNtimes

Writethisas:whereX~unif(a,b)

whereX~unif(a,b)So,wewillestimateIbyestimatingE[g(X)]with

Example:(weknowthattheanswerise3-119.08554)writethisaswhereX~unif(0,3)

writethisaswhereX~unif(