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Monte Carlo integration ‒ a case-study for simulation. (English)
Int. J. Math. Educ. Sci. Technol. 45, No. 1, 131-145 (2014).
Summary: The Monte Carlo integration is a classic example of a stochastic simulation, suitable for teaching in schools and colleges. First, we consider the generation of random numbers. Then, two approaches to Monte Carlo integration are discussed and the convergence of both methods is investigated. Numerical computations are carried out with Matlab and methods for variance reduction are presented.
Classification: K90 K60 I50 N45
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