Numerical Integration: Monte Carlo integration

Theory Efficiency of Monte Carlo integration (programming assignment)

Use your previously implemented function for Monte Carlo integration.

  1. Find out how large the sample must be to approximate the integral \(\displaystyle\int_0^1\frac{4}{x^2+1}dx\) with a precision of \(0.1\), \(0.01\), \(0.001\) and \(0.0001\).

  2. Compare the result from part (a) with the following probability-based algorithm to approximate an integral \(\displaystyle \int_a^bf(x)\,\dd x\): draw a uniform sample of values in the interval \([a,b]\), calculate the mean value of the function \(f\) for the drawn values in the sample and multiply this mean value by the length of the interval, i.e. by \(b-a\).
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