MC Integration
Classical Monte Carlo Integration
Robert and Casella (2013) introduces the classical Monte Carlo integration:
Toy Example
根据大数律有
并且由中心极限定理有
另外,注意到
则可以直接利用上一节的结论。
Polar Simulation
Note: Unless otherwise stated, the algorithms and the corresponding screenshots are adopted from Robert and Casella (2013).
The following Julia program can be used to do polar simulation.
Last updated