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Monte Carlo integration

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1158: 3754:. This is equivalent to locating the peaks of the function from the projections of the integrand onto the coordinate axes. The efficiency of VEGAS depends on the validity of this assumption. It is most efficient when the peaks of the integrand are well-localized. If an integrand can be rewritten in a form which is approximately separable this will increase the efficiency of integration with VEGAS. VEGAS incorporates a number of additional features, and combines both stratified sampling and importance sampling. 31: 1145:. This result does not depend on the number of dimensions of the integral, which is the promised advantage of Monte Carlo integration against most deterministic methods that depend exponentially on the dimension. It is important to notice that, unlike in deterministic methods, the estimate of the error is not a strict error bound; random sampling may not uncover all the important features of the integrand that can result in an underestimate of the error. 1149:
integrands are very localized and only small subspace notably contributes to the integral. A large part of the Monte Carlo literature is dedicated in developing strategies to improve the error estimates. In particular, stratified samplingā€”dividing the region in sub-domainsā€”and importance samplingā€”sampling from non-uniform distributionsā€”are two examples of such techniques.
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Consider the following example where one would like to numerically integrate a gaussian function, centered at 0, with Ļƒ = 1, from āˆ’1000 to 1000. Naturally, if the samples are drawn uniformly on the interval , only a very small part of them would be significant to the integral. This can be improved by
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possible bisections and selecting the one which will minimize the combined variance of the two sub-regions. The variance in the sub-regions is estimated by sampling with a fraction of the total number of points available to the current step. The same procedure is then repeated recursively for each of
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While the naive Monte Carlo works for simple examples, an improvement over deterministic algorithms can only be accomplished with algorithms that use problem-specific sampling distributions. With an appropriate sample distribution it is possible to exploit the fact that almost all higher-dimensional
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to multi-dimensional integrals. On each recursion step the integral and the error are estimated using a plain Monte Carlo algorithm. If the error estimate is larger than the required accuracy the integration volume is divided into sub-volumes and the procedure is recursively applied to sub-volumes.
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is the inner circle and the domain E is the square. Because the square's area (4) can be easily calculated, the area of the circle (Ļ€*1.0) can be estimated by the ratio (0.8) of the points inside the circle (40) to the total number of points (50), yielding an approximation for the circle's area of
3132:. This recursive allocation of integration points continues down to a user-specified depth where each sub-region is integrated using a plain Monte Carlo estimate. These individual values and their error estimates are then combined upwards to give an overall result and an estimate of its error. 2587:
The ordinary 'dividing by two' strategy does not work for multi-dimensions as the number of sub-volumes grows far too quickly to keep track. Instead one estimates along which dimension a subdivision should bring the most dividends and only subdivides the volume along this dimension.
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from the above illustration was integrated within a unit square using the suggested algorithm. The sampled points were recorded and plotted. Clearly stratified sampling algorithm concentrates the points in the regions where the variation of the function is
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The stratified sampling algorithm concentrates the sampling points in the regions where the variance of the function is largest thus reducing the grand variance and making the sampling more effective, as shown on the illustration.
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approach: each realization provides a different outcome. In Monte Carlo, the final outcome is an approximation of the correct value with respective error bars, and the correct value is likely to be within those error bars.
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choosing a different distribution from where the samples are chosen, for instance by sampling according to a gaussian distribution centered at 0, with Ļƒ = 1. Of course the "right" choice strongly depends on the integrand.
3378: 67:. While other algorithms usually evaluate the integrand at a regular grid, Monte Carlo randomly chooses points at which the integrand is evaluated. This method is particularly useful for higher-dimensional integrals. 3276: 3748: 3502:
Intuitively, this says that if we pick a particular sample twice as much as other samples, we weight it half as much as the other samples. This estimator is naturally valid for uniform sampling, the case where
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Importance sampling provides a very important tool to perform Monte-Carlo integration. The main result of importance sampling to this method is that the uniform sampling of
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The MISER algorithm proceeds by bisecting the integration region along one coordinate axis to give two sub-regions at each step. The direction is chosen by examining all
2692: 2656: 2448: 894:{\displaystyle \mathrm {Var} (Q_{N})={\frac {V^{2}}{N^{2}}}\sum _{i=1}^{N}\mathrm {Var} (f)=V^{2}{\frac {\mathrm {Var} (f)}{N}}=V^{2}{\frac {\sigma _{N}^{2}}{N}}.} 1143: 3629:
The VEGAS algorithm approximates the exact distribution by making a number of passes over the integration region which creates the histogram of the function
3640: 702:{\displaystyle \mathrm {Var} (f)\equiv \sigma _{N}^{2}={\frac {1}{N-1}}\sum _{i=1}^{N}\left(f({\overline {\mathbf {x} }}_{i})-\langle f\rangle \right)^{2}.} 2783: 1397: 3773: 3110:
Hence the smallest error estimate is obtained by allocating sample points in proportion to the standard deviation of the function in each sub-region.
219: 2108: 1312: 4177: 4160: 4124: 4093: 4062: 1157: 3493:{\displaystyle Q_{N}\equiv {\frac {1}{N}}\sum _{i=1}^{N}{\frac {f({\overline {\mathbf {x} }}_{i})}{p({\overline {\mathbf {x} }}_{i})}}} 2607:. This technique aims to reduce the overall integration error by concentrating integration points in the regions of highest variance. 3545: 71: 473: 4015: 3364:{\displaystyle p({\overline {\mathbf {x} }}):\qquad {\overline {\mathbf {x} }}_{1},\cdots ,{\overline {\mathbf {x} }}_{N}\in V,} 3118:
the two half-spaces from the best bisection. The remaining sample points are allocated to the sub-regions using the formula for
4183: 1838: 4203: 457:{\displaystyle I\approx Q_{N}\equiv V{\frac {1}{N}}\sum _{i=1}^{N}f({\overline {\mathbf {x} }}_{i})=V\langle f\rangle .} 3768: 87: 1298:{\displaystyle H\left(x,y\right)={\begin{cases}1&{\text{if }}x^{2}+y^{2}\leq 1\\0&{\text{else}}\end{cases}}} 3580: 3506: 3224: 3186: 1122: 1495: 3551: 3157: 4103: 3763: 1543: 1164: 1093: 103: 3001:{\displaystyle \mathrm {Var} (f)={\frac {\sigma _{a}^{2}(f)}{4N_{a}}}+{\frac {\sigma _{b}^{2}(f)}{4N_{b}}}} 2738: 2697: 4180: : A blog article describing Monte Carlo integration (principle, hypothesis, confidence interval) 1083:{\displaystyle \delta Q_{N}\approx {\sqrt {\mathrm {Var} (Q_{N})}}=V{\frac {\sigma _{N}}{\sqrt {N}}},} 190: 4184:
Boost.Math : Naive Monte Carlo integration: Documentation for the C++ naive Monte-Carlo routines
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is a particular case of a more generic choice, on which the samples are drawn from any distribution
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A paradigmatic example of a Monte Carlo integration is the estimation of Ļ€. Consider the function
3964: 3951: 3921: 3783: 3778: 336:{\displaystyle {\overline {\mathbf {x} }}_{1},\cdots ,{\overline {\mathbf {x} }}_{N}\in \Omega ,} 60: 2563:{\displaystyle f(x,y)={\begin{cases}1&x^{2}+y^{2}<1\\0&x^{2}+y^{2}\geq 1\end{cases}}} 4156: 4120: 4089: 4058: 2661: 2625: 115: 64: 30: 4114: 4032: 3999: 3943: 99: 56: 4134: 3101:{\displaystyle {\frac {N_{a}}{N_{a}+N_{b}}}={\frac {\sigma _{a}}{\sigma _{a}+\sigma _{b}}}} 180:{\displaystyle I=\int _{\Omega }f({\overline {\mathbf {x} }})\,d{\overline {\mathbf {x} }}} 4130: 3624: 543: 83: 4028: 3995: 3939: 1390:
Thus, a crude way of calculating the value of Ļ€ with Monte Carlo integration is to pick
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It can be shown that this variance is minimized by distributing the points such that,
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Lepage, G. P. (1978). "A New Algorithm for Adaptive Multidimensional Integration".
3955: 2038:# Calculate area and print; should be closer to Pi with increasing number of throws 4044:
Lepage, G. P. (1980). "VEGAS: An Adaptive Multi-dimensional Integration Program".
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An illustration of Recursive Stratified Sampling. In this example, the function:
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Relative error as a function of the number of samples, showing the scaling
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There are different methods to perform a Monte Carlo integration, such as
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The idea of stratified sampling begins with the observation that for two
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The naive Monte Carlo approach is to sample points uniformly on Ī©: given
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An illustration of Monte Carlo integration. In this example, the domain
3969: 4004: 3979: 3743:{\displaystyle g(x_{1},x_{2},\ldots )=g_{1}(x_{1})g_{2}(x_{2})\ldots } 114:
The problem Monte Carlo integration addresses is the computation of a
2278:(*Sample from truncated normal distribution to speed up convergence*) 2868:{\displaystyle E(f)={\tfrac {1}{2}}\left(E_{a}(f)+E_{b}(f)\right)} 2441: 2440: 1483:{\displaystyle Q_{N}=4{\frac {1}{N}}\sum _{i=1}^{N}H(x_{i},y_{i})} 1156: 29: 1579:
Keep in mind that a true random number generator should be used.
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There are a variety of importance sampling algorithms, such as
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is bounded, this variance decreases asymptotically to zero as 1/
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Press, WH; Teukolsky, SA; Vetterling, WT; Flannery, BP (2007).
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The code below describes a process of integrating the function
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Weinzierl, S. (2000). "Introduction to Monte Carlo methods".
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Formally, given a set of samples chosen from a distribution
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Monte Carlo applet applied in statistical physics problems
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can be chosen to decrease the variance of the measurement
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The popular MISER routine implements a similar algorithm.
2185:{\displaystyle f(x)={\frac {1}{1+\sinh(2x)\log(x)^{2}}}} 1381:{\displaystyle I_{\pi }=\int _{\Omega }H(x,y)dxdy=\pi .} 106:. Monte Carlo integration, on the other hand, employs a 4088:(3rd ed.). New York: Cambridge University Press. 2803: 1548: 1500: 1169: 1098: 4116:
Information Theory, Inference and Learning Algorithms
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"Monte Carlo and quasi-Monte Carlo methods". 3643: 3583: 3554: 3509: 3381: 3279: 3227: 3189: 3160: 3016: 2881: 2786: 2741: 2700: 2664: 2628: 2451: 2198: 2111: 1546: 1498: 1400: 1315: 1201: 1167: 1131: 1096: 1004: 909: 715: 558: 476: 354: 276: 222: 193: 123: 4086:Numerical Recipes: The Art of Scientific Computing 3742: 3607: 3569: 3533: 3492: 3363: 3251: 3213: 3175: 3100: 3000: 2867: 2768: 2727: 2686: 2650: 2562: 2216: 2184: 1978:# If the point is inside circle, increase variable 1563: 1528: 1482: 1380: 1297: 1184: 1137: 1113: 1082: 979: 893: 701: 514: 456: 335: 256: 208: 179: 3891: 478: 3828: 3826: 3824: 3822: 3548:is one of the most used algorithms to generate 1492:In the figure on the right, the relative error 3901: 3899: 98:In numerical integration, methods such as the 3844: 3832: 3608:{\displaystyle p({\overline {\mathbf {x} }})} 3534:{\displaystyle p({\overline {\mathbf {x} }})} 3252:{\displaystyle p({\overline {\mathbf {x} }})} 3214:{\displaystyle p({\overline {\mathbf {x} }})} 8: 4053:Hammersley, J. M.; Handscomb, D. C. (1964). 3750:so that the number of bins required is only 682: 676: 515:{\displaystyle \lim _{N\to \infty }Q_{N}=I.} 448: 442: 4108:"chapter 4.4 Typicality & chapter 29.1" 3879: 2622:with Monte Carlo estimates of the integral 1909:# Choose random X and Y centered around 0,0 1529:{\displaystyle {\tfrac {Q_{N}-\pi }{\pi }}} 4144:Monte Carlo Methods in Statistical Physics 3570:{\displaystyle {\overline {\mathbf {x} }}} 3176:{\displaystyle {\overline {\mathbf {x} }}} 2603:The MISER algorithm is based on recursive 4003: 3968: 3774:Monte Carlo method in statistical physics 3728: 3715: 3702: 3689: 3667: 3654: 3642: 3592: 3590: 3582: 3557: 3555: 3553: 3518: 3516: 3508: 3478: 3468: 3466: 3448: 3438: 3436: 3426: 3420: 3409: 3395: 3386: 3380: 3346: 3336: 3334: 3318: 3308: 3306: 3288: 3286: 3278: 3236: 3234: 3226: 3198: 3196: 3188: 3163: 3161: 3159: 3089: 3076: 3065: 3059: 3047: 3034: 3023: 3017: 3015: 2989: 2965: 2960: 2953: 2941: 2917: 2912: 2905: 2882: 2880: 2845: 2823: 2802: 2785: 2751: 2746: 2740: 2710: 2705: 2699: 2669: 2663: 2633: 2627: 2541: 2528: 2503: 2490: 2473: 2450: 2197: 2173: 2127: 2110: 1547: 1545: 1507: 1499: 1497: 1471: 1458: 1442: 1431: 1417: 1405: 1399: 1333: 1320: 1314: 1283: 1262: 1249: 1240: 1227: 1200: 1168: 1166: 1130: 1097: 1095: 1064: 1058: 1041: 1023: 1021: 1012: 1003: 960: 955: 942: 937: 924: 919: 908: 877: 872: 866: 860: 827: 824: 818: 791: 785: 774: 762: 752: 746: 734: 716: 714: 690: 664: 654: 652: 633: 622: 600: 591: 586: 559: 557: 497: 481: 475: 427: 417: 415: 402: 391: 377: 365: 353: 318: 308: 306: 290: 280: 278: 275: 244: 242: 233: 221: 200: 196: 195: 192: 167: 165: 161: 148: 146: 134: 122: 4178:CafĆ© math : Monte Carlo Integration 3794: 2579:is a generalization of one-dimensional 1564:{\displaystyle {\tfrac {1}{\sqrt {N}}}} 1185:{\displaystyle {\tfrac {1}{\sqrt {N}}}} 1114:{\displaystyle {\tfrac {1}{\sqrt {N}}}} 86:(also known as a particle filter), and 3905: 3867: 7: 3978:Press, W. H.; Farrar, G. R. (1990). 4075:; Taimre, T.; Botev, Z. I. (2011). 2889: 2886: 2883: 2769:{\displaystyle \sigma _{b}^{2}(f)} 2728:{\displaystyle \sigma _{a}^{2}(f)} 1334: 1030: 1027: 1024: 834: 831: 828: 798: 795: 792: 723: 720: 717: 566: 563: 560: 488: 327: 234: 135: 116:multidimensional definite integral 25: 4142:Newman, MEJ; Barkema, GT (1999). 991:. The estimation of the error of 548:unbiased estimate of the variance 4016:Journal of Computational Physics 3593: 3558: 3519: 3469: 3439: 3337: 3309: 3289: 3237: 3199: 3164: 2224:using the Monte-Carlo method in 1394:random numbers on Ī© and compute 655: 418: 309: 281: 245: 209:{\displaystyle \mathbb {R} ^{m}} 168: 149: 4153:Monte Carlo Statistical Methods 4151:Robert, CP; Casella, G (2004). 4077:Handbook of Monte Carlo Methods 3892:Kroese, Taimre & Botev 2011 3304: 4119:. Cambridge University Press. 3734: 3721: 3708: 3695: 3679: 3647: 3602: 3587: 3528: 3513: 3484: 3462: 3454: 3432: 3298: 3283: 3246: 3231: 3208: 3193: 2977: 2971: 2929: 2923: 2899: 2893: 2857: 2851: 2835: 2829: 2796: 2790: 2763: 2757: 2722: 2716: 2681: 2675: 2645: 2639: 2467: 2455: 2170: 2163: 2154: 2145: 2121: 2115: 1477: 1451: 1354: 1342: 1047: 1034: 844: 838: 808: 802: 740: 727: 670: 648: 576: 570: 485: 433: 411: 158: 143: 1: 3546:Metropolisā€“Hastings algorithm 3150:Importance sampling algorithm 2577:Recursive stratified sampling 2431:Recursive stratified sampling 2217:{\displaystyle 0.8<x<3} 1536:is measured as a function of 4046:Cornell Preprint CLNS 80-447 4037:10.1016/0021-9991(78)90004-9 3597: 3562: 3523: 3473: 3443: 3341: 3313: 3293: 3241: 3203: 3168: 2425:(*Compare with real answer*) 659: 422: 313: 285: 249: 172: 153: 63:that numerically computes a 3769:Auxiliary field Monte Carlo 2780:) of the combined estimate 2101:Wolfram Mathematica example 88:mean-field particle methods 4220: 4155:(2nd ed.). Springer. 3622: 3139: 2434: 1123:standard error of the mean 3948:10.1017/S0962492900002804 3845:Newman & Barkema 1999 3833:Newman & Barkema 1999 1305:and the set Ī© = Ɨ with 542:can be estimated by the 4079:. John Wiley & Sons. 3764:Quasi-Monte Carlo method 2687:{\displaystyle E_{b}(f)} 2651:{\displaystyle E_{a}(f)} 2230: 1843: 1581: 903:As long as the sequence 524:Given the estimation of 3880:Press & Farrar 1990 348:can be approximated by 49:Monte Carlo integration 18:Monte-Carlo integration 3744: 3609: 3571: 3535: 3494: 3425: 3365: 3253: 3215: 3177: 3102: 3002: 2869: 2770: 2729: 2688: 2652: 2573: 2564: 2218: 2186: 1565: 1530: 1484: 1447: 1382: 1299: 1192: 1186: 1139: 1115: 1084: 981: 895: 790: 703: 638: 516: 458: 407: 337: 258: 210: 181: 104:deterministic approach 84:sequential Monte Carlo 40: 3745: 3610: 3572: 3536: 3495: 3405: 3366: 3254: 3216: 3178: 3103: 3003: 2870: 2771: 2730: 2689: 2653: 2565: 2444: 2219: 2187: 1566: 1531: 1485: 1427: 1383: 1300: 1187: 1160: 1140: 1116: 1085: 982: 896: 770: 704: 618: 517: 459: 387: 338: 259: 211: 187:where Ī©, a subset of 182: 59:. It is a particular 53:numerical integration 33: 3984:Computers in Physics 3641: 3581: 3552: 3507: 3379: 3277: 3225: 3187: 3158: 3014: 2879: 2784: 2739: 2698: 2662: 2626: 2581:adaptive quadratures 2449: 2196: 2109: 1544: 1496: 1398: 1313: 1199: 1165: 1129: 1094: 1002: 907: 713: 556: 535:, the error bars of 474: 468:law of large numbers 466:This is because the 352: 274: 220: 191: 121: 4204:Monte Carlo methods 4055:Monte Carlo Methods 4029:1978JCoPh..27..192L 3996:1990ComPh...4..190P 3940:1998AcNum...7....1C 3221:. The idea is that 3142:Importance sampling 3136:Importance sampling 2970: 2922: 2776:, the variance Var( 2756: 2715: 2605:stratified sampling 2437:Stratified sampling 1090:which decreases as 965: 947: 929: 882: 596: 80:importance sampling 76:stratified sampling 51:is a technique for 27:Numerical technique 4146:. Clarendon Press. 3882:, pp. 190ā€“195 3870:, pp. 284ā€“292 3784:Variance reduction 3779:Monte Carlo method 3740: 3605: 3567: 3531: 3490: 3371:the estimator for 3361: 3249: 3211: 3173: 3098: 2998: 2956: 2908: 2865: 2812: 2766: 2742: 2725: 2701: 2684: 2648: 2574: 2560: 2555: 2214: 2182: 1561: 1559: 1526: 1524: 1480: 1378: 1295: 1290: 1193: 1182: 1180: 1135: 1111: 1109: 1080: 977: 951: 933: 915: 891: 868: 699: 582: 512: 492: 454: 333: 254: 206: 177: 61:Monte Carlo method 41: 4162:978-1-4419-1939-7 4126:978-0-521-64298-9 4095:978-0-521-88068-8 4064:978-0-416-52340-9 4005:10.1063/1.4822899 3857:Press et al. 2007 3814:Press et al. 2007 3802:Press et al. 2007 3619:VEGAS Monte Carlo 3600: 3565: 3526: 3488: 3476: 3446: 3403: 3344: 3316: 3296: 3244: 3206: 3171: 3096: 3054: 2996: 2948: 2811: 2599:MISER Monte Carlo 2180: 1558: 1557: 1540:, confirming the 1523: 1425: 1309:= 4. Notice that 1286: 1243: 1179: 1178: 1138:{\displaystyle V} 1108: 1107: 1075: 1074: 1050: 886: 851: 768: 662: 616: 477: 425: 385: 316: 288: 270:uniform samples, 252: 175: 156: 108:non-deterministic 65:definite integral 16:(Redirected from 4211: 4166: 4147: 4138: 4112: 4099: 4080: 4068: 4049: 4040: 4009: 4007: 3974: 3972: 3959: 3908: 3903: 3894: 3889: 3883: 3877: 3871: 3865: 3859: 3854: 3848: 3842: 3836: 3830: 3817: 3811: 3805: 3799: 3749: 3747: 3746: 3741: 3733: 3732: 3720: 3719: 3707: 3706: 3694: 3693: 3672: 3671: 3659: 3658: 3614: 3612: 3611: 3606: 3601: 3596: 3591: 3576: 3574: 3573: 3568: 3566: 3561: 3556: 3540: 3538: 3537: 3532: 3527: 3522: 3517: 3499: 3497: 3496: 3491: 3489: 3487: 3483: 3482: 3477: 3472: 3467: 3457: 3453: 3452: 3447: 3442: 3437: 3427: 3424: 3419: 3404: 3396: 3391: 3390: 3370: 3368: 3367: 3362: 3351: 3350: 3345: 3340: 3335: 3323: 3322: 3317: 3312: 3307: 3297: 3292: 3287: 3258: 3256: 3255: 3250: 3245: 3240: 3235: 3220: 3218: 3217: 3212: 3207: 3202: 3197: 3182: 3180: 3179: 3174: 3172: 3167: 3162: 3107: 3105: 3104: 3099: 3097: 3095: 3094: 3093: 3081: 3080: 3070: 3069: 3060: 3055: 3053: 3052: 3051: 3039: 3038: 3028: 3027: 3018: 3007: 3005: 3004: 2999: 2997: 2995: 2994: 2993: 2980: 2969: 2964: 2954: 2949: 2947: 2946: 2945: 2932: 2921: 2916: 2906: 2892: 2874: 2872: 2871: 2866: 2864: 2860: 2850: 2849: 2828: 2827: 2813: 2804: 2775: 2773: 2772: 2767: 2755: 2750: 2734: 2732: 2731: 2726: 2714: 2709: 2693: 2691: 2690: 2685: 2674: 2673: 2657: 2655: 2654: 2649: 2638: 2637: 2569: 2567: 2566: 2561: 2559: 2558: 2546: 2545: 2533: 2532: 2508: 2507: 2495: 2494: 2426: 2423: 2420: 2417: 2414: 2411: 2408: 2405: 2402: 2399: 2396: 2393: 2390: 2387: 2384: 2381: 2378: 2375: 2372: 2369: 2366: 2363: 2360: 2357: 2354: 2351: 2348: 2345: 2342: 2339: 2336: 2333: 2330: 2327: 2324: 2321: 2318: 2315: 2312: 2309: 2306: 2303: 2300: 2297: 2294: 2291: 2288: 2285: 2282: 2279: 2276: 2273: 2270: 2267: 2264: 2261: 2258: 2255: 2252: 2249: 2246: 2243: 2240: 2237: 2234: 2223: 2221: 2220: 2215: 2191: 2189: 2188: 2183: 2181: 2179: 2178: 2177: 2128: 2096: 2093: 2090: 2087: 2084: 2081: 2078: 2075: 2072: 2069: 2066: 2063: 2060: 2057: 2054: 2051: 2048: 2045: 2042: 2039: 2036: 2033: 2030: 2027: 2024: 2021: 2018: 2015: 2012: 2009: 2006: 2003: 2000: 1997: 1994: 1991: 1988: 1985: 1982: 1979: 1976: 1973: 1970: 1967: 1964: 1961: 1958: 1955: 1952: 1949: 1946: 1943: 1940: 1937: 1934: 1931: 1928: 1925: 1922: 1919: 1916: 1913: 1910: 1907: 1904: 1901: 1898: 1895: 1892: 1889: 1886: 1883: 1880: 1877: 1874: 1871: 1868: 1865: 1862: 1859: 1856: 1853: 1850: 1847: 1828: 1825: 1822: 1819: 1816: 1813: 1810: 1807: 1804: 1801: 1798: 1795: 1792: 1789: 1786: 1783: 1780: 1777: 1774: 1771: 1768: 1765: 1762: 1759: 1756: 1753: 1750: 1747: 1744: 1741: 1738: 1735: 1732: 1729: 1726: 1723: 1720: 1717: 1714: 1711: 1708: 1705: 1702: 1699: 1696: 1693: 1690: 1687: 1684: 1681: 1678: 1675: 1672: 1669: 1666: 1663: 1660: 1657: 1654: 1651: 1648: 1645: 1642: 1639: 1636: 1633: 1630: 1627: 1624: 1621: 1618: 1615: 1612: 1609: 1606: 1603: 1600: 1597: 1594: 1591: 1588: 1585: 1570: 1568: 1567: 1562: 1560: 1553: 1549: 1535: 1533: 1532: 1527: 1525: 1519: 1512: 1511: 1501: 1489: 1487: 1486: 1481: 1476: 1475: 1463: 1462: 1446: 1441: 1426: 1418: 1410: 1409: 1387: 1385: 1384: 1379: 1338: 1337: 1325: 1324: 1304: 1302: 1301: 1296: 1294: 1293: 1287: 1284: 1267: 1266: 1254: 1253: 1244: 1241: 1223: 1219: 1191: 1189: 1188: 1183: 1181: 1174: 1170: 1144: 1142: 1141: 1136: 1125:multiplied with 1120: 1118: 1117: 1112: 1110: 1103: 1099: 1089: 1087: 1086: 1081: 1076: 1070: 1069: 1068: 1059: 1051: 1046: 1045: 1033: 1022: 1017: 1016: 986: 984: 983: 978: 976: 972: 964: 959: 946: 941: 928: 923: 900: 898: 897: 892: 887: 881: 876: 867: 865: 864: 852: 847: 837: 825: 823: 822: 801: 789: 784: 769: 767: 766: 757: 756: 747: 739: 738: 726: 708: 706: 705: 700: 695: 694: 689: 685: 669: 668: 663: 658: 653: 637: 632: 617: 615: 601: 595: 590: 569: 521: 519: 518: 513: 502: 501: 491: 463: 461: 460: 455: 432: 431: 426: 421: 416: 406: 401: 386: 378: 370: 369: 342: 340: 339: 334: 323: 322: 317: 312: 307: 295: 294: 289: 284: 279: 263: 261: 260: 255: 253: 248: 243: 238: 237: 215: 213: 212: 207: 205: 204: 199: 186: 184: 183: 178: 176: 171: 166: 157: 152: 147: 139: 138: 100:trapezoidal rule 72:uniform sampling 39:4*0.8 = 3.2 ā‰ˆ Ļ€. 21: 4219: 4218: 4214: 4213: 4212: 4210: 4209: 4208: 4194: 4193: 4174: 4169: 4163: 4150: 4141: 4127: 4110: 4102: 4096: 4083: 4071: 4065: 4052: 4043: 4012: 3977: 3962: 3922:Caflisch, R. E. 3920: 3916: 3911: 3904: 3897: 3890: 3886: 3878: 3874: 3866: 3862: 3855: 3851: 3843: 3839: 3831: 3820: 3812: 3808: 3800: 3796: 3792: 3760: 3724: 3711: 3698: 3685: 3663: 3650: 3639: 3638: 3627: 3625:VEGAS algorithm 3621: 3579: 3578: 3550: 3549: 3505: 3504: 3465: 3458: 3435: 3428: 3382: 3377: 3376: 3333: 3305: 3275: 3274: 3264: 3223: 3222: 3185: 3184: 3156: 3155: 3152: 3144: 3138: 3130: 3123: 3085: 3072: 3071: 3061: 3043: 3030: 3029: 3019: 3012: 3011: 2985: 2981: 2955: 2937: 2933: 2907: 2877: 2876: 2841: 2819: 2818: 2814: 2782: 2781: 2737: 2736: 2696: 2695: 2665: 2660: 2659: 2629: 2624: 2623: 2601: 2570: 2554: 2553: 2537: 2524: 2522: 2516: 2515: 2499: 2486: 2484: 2474: 2447: 2446: 2439: 2433: 2428: 2427: 2424: 2421: 2418: 2415: 2412: 2409: 2406: 2403: 2400: 2397: 2394: 2391: 2388: 2385: 2382: 2379: 2376: 2373: 2370: 2367: 2364: 2361: 2358: 2355: 2352: 2349: 2346: 2343: 2340: 2337: 2334: 2331: 2328: 2325: 2322: 2319: 2316: 2313: 2310: 2307: 2304: 2301: 2298: 2295: 2292: 2289: 2286: 2283: 2280: 2277: 2274: 2271: 2268: 2265: 2262: 2259: 2256: 2253: 2250: 2247: 2244: 2241: 2238: 2235: 2232: 2194: 2193: 2169: 2132: 2107: 2106: 2103: 2098: 2097: 2094: 2091: 2088: 2085: 2082: 2079: 2076: 2073: 2070: 2067: 2064: 2061: 2058: 2055: 2052: 2049: 2046: 2043: 2040: 2037: 2034: 2031: 2028: 2025: 2022: 2019: 2016: 2013: 2010: 2007: 2004: 2001: 1998: 1995: 1992: 1989: 1986: 1983: 1980: 1977: 1974: 1971: 1968: 1965: 1962: 1959: 1956: 1953: 1950: 1947: 1944: 1941: 1938: 1935: 1932: 1929: 1926: 1923: 1920: 1917: 1914: 1911: 1908: 1905: 1902: 1899: 1896: 1893: 1890: 1887: 1884: 1881: 1878: 1875: 1872: 1869: 1866: 1863: 1860: 1857: 1854: 1851: 1848: 1845: 1835: 1830: 1829: 1826: 1823: 1820: 1817: 1814: 1811: 1808: 1805: 1802: 1799: 1796: 1793: 1790: 1787: 1784: 1781: 1778: 1775: 1772: 1769: 1766: 1763: 1760: 1757: 1754: 1751: 1748: 1745: 1742: 1739: 1736: 1733: 1730: 1727: 1724: 1721: 1718: 1715: 1712: 1709: 1706: 1703: 1700: 1697: 1694: 1691: 1688: 1685: 1682: 1679: 1676: 1673: 1670: 1667: 1664: 1661: 1658: 1655: 1652: 1649: 1646: 1643: 1640: 1637: 1634: 1631: 1628: 1625: 1622: 1619: 1616: 1613: 1610: 1607: 1604: 1601: 1598: 1595: 1592: 1589: 1586: 1583: 1577: 1542: 1541: 1503: 1502: 1494: 1493: 1467: 1454: 1401: 1396: 1395: 1329: 1316: 1311: 1310: 1289: 1288: 1281: 1275: 1274: 1258: 1245: 1238: 1228: 1209: 1205: 1197: 1196: 1163: 1162: 1155: 1127: 1126: 1092: 1091: 1060: 1037: 1008: 1000: 999: 996: 914: 910: 905: 904: 856: 826: 814: 758: 748: 730: 711: 710: 709:which leads to 651: 644: 640: 639: 605: 554: 553: 544:sample variance 540: 533: 493: 472: 471: 414: 361: 350: 349: 305: 277: 272: 271: 229: 218: 217: 194: 189: 188: 130: 119: 118: 96: 28: 23: 22: 15: 12: 11: 5: 4217: 4215: 4207: 4206: 4196: 4195: 4192: 4191: 4186: 4181: 4173: 4172:External links 4170: 4168: 4167: 4161: 4148: 4139: 4125: 4100: 4094: 4081: 4069: 4063: 4050: 4041: 4023:(2): 192ā€“203. 4010: 3975: 3970:hep-ph/0006269 3960: 3917: 3915: 3912: 3910: 3909: 3895: 3884: 3872: 3860: 3849: 3837: 3818: 3806: 3793: 3791: 3788: 3787: 3786: 3781: 3776: 3771: 3766: 3759: 3756: 3739: 3736: 3731: 3727: 3723: 3718: 3714: 3710: 3705: 3701: 3697: 3692: 3688: 3684: 3681: 3678: 3675: 3670: 3666: 3662: 3657: 3653: 3649: 3646: 3623:Main article: 3620: 3617: 3604: 3599: 3595: 3589: 3586: 3564: 3560: 3530: 3525: 3521: 3515: 3512: 3486: 3481: 3475: 3471: 3464: 3461: 3456: 3451: 3445: 3441: 3434: 3431: 3423: 3418: 3415: 3412: 3408: 3402: 3399: 3394: 3389: 3385: 3360: 3357: 3354: 3349: 3343: 3339: 3332: 3329: 3326: 3321: 3315: 3311: 3303: 3300: 3295: 3291: 3285: 3282: 3262: 3248: 3243: 3239: 3233: 3230: 3210: 3205: 3201: 3195: 3192: 3170: 3166: 3151: 3148: 3140:Main article: 3137: 3134: 3128: 3121: 3092: 3088: 3084: 3079: 3075: 3068: 3064: 3058: 3050: 3046: 3042: 3037: 3033: 3026: 3022: 2992: 2988: 2984: 2979: 2976: 2973: 2968: 2963: 2959: 2952: 2944: 2940: 2936: 2931: 2928: 2925: 2920: 2915: 2911: 2904: 2901: 2898: 2895: 2891: 2888: 2885: 2863: 2859: 2856: 2853: 2848: 2844: 2840: 2837: 2834: 2831: 2826: 2822: 2817: 2810: 2807: 2801: 2798: 2795: 2792: 2789: 2765: 2762: 2759: 2754: 2749: 2745: 2724: 2721: 2718: 2713: 2708: 2704: 2694:and variances 2683: 2680: 2677: 2672: 2668: 2647: 2644: 2641: 2636: 2632: 2600: 2597: 2557: 2552: 2549: 2544: 2540: 2536: 2531: 2527: 2523: 2521: 2518: 2517: 2514: 2511: 2506: 2502: 2498: 2493: 2489: 2485: 2483: 2480: 2479: 2477: 2472: 2469: 2466: 2463: 2460: 2457: 2454: 2432: 2429: 2231: 2213: 2210: 2207: 2204: 2201: 2176: 2172: 2168: 2165: 2162: 2159: 2156: 2153: 2150: 2147: 2144: 2141: 2138: 2135: 2131: 2126: 2123: 2120: 2117: 2114: 2102: 2099: 1844: 1834: 1833:Python example 1831: 1582: 1576: 1573: 1556: 1552: 1522: 1518: 1515: 1510: 1506: 1479: 1474: 1470: 1466: 1461: 1457: 1453: 1450: 1445: 1440: 1437: 1434: 1430: 1424: 1421: 1416: 1413: 1408: 1404: 1377: 1374: 1371: 1368: 1365: 1362: 1359: 1356: 1353: 1350: 1347: 1344: 1341: 1336: 1332: 1328: 1323: 1319: 1292: 1282: 1280: 1277: 1276: 1273: 1270: 1265: 1261: 1257: 1252: 1248: 1239: 1237: 1234: 1233: 1231: 1226: 1222: 1218: 1215: 1212: 1208: 1204: 1177: 1173: 1154: 1151: 1134: 1106: 1102: 1079: 1073: 1067: 1063: 1057: 1054: 1049: 1044: 1040: 1036: 1032: 1029: 1026: 1020: 1015: 1011: 1007: 994: 975: 971: 968: 963: 958: 954: 950: 945: 940: 936: 932: 927: 922: 918: 913: 890: 885: 880: 875: 871: 863: 859: 855: 850: 846: 843: 840: 836: 833: 830: 821: 817: 813: 810: 807: 804: 800: 797: 794: 788: 783: 780: 777: 773: 765: 761: 755: 751: 745: 742: 737: 733: 729: 725: 722: 719: 698: 693: 688: 684: 681: 678: 675: 672: 667: 661: 657: 650: 647: 643: 636: 631: 628: 625: 621: 614: 611: 608: 604: 599: 594: 589: 585: 581: 578: 575: 572: 568: 565: 562: 538: 531: 511: 508: 505: 500: 496: 490: 487: 484: 480: 453: 450: 447: 444: 441: 438: 435: 430: 424: 420: 413: 410: 405: 400: 397: 394: 390: 384: 381: 376: 373: 368: 364: 360: 357: 332: 329: 326: 321: 315: 311: 304: 301: 298: 293: 287: 283: 251: 247: 241: 236: 232: 228: 225: 203: 198: 174: 170: 164: 160: 155: 151: 145: 142: 137: 133: 129: 126: 95: 92: 57:random numbers 26: 24: 14: 13: 10: 9: 6: 4: 3: 2: 4216: 4205: 4202: 4201: 4199: 4190: 4187: 4185: 4182: 4179: 4176: 4175: 4171: 4164: 4158: 4154: 4149: 4145: 4140: 4136: 4132: 4128: 4122: 4118: 4117: 4109: 4105: 4104:MacKay, David 4101: 4097: 4091: 4087: 4082: 4078: 4074: 4073:Kroese, D. P. 4070: 4066: 4060: 4056: 4051: 4047: 4042: 4038: 4034: 4030: 4026: 4022: 4018: 4017: 4011: 4006: 4001: 3997: 3993: 3989: 3985: 3981: 3976: 3971: 3966: 3961: 3957: 3953: 3949: 3945: 3941: 3937: 3933: 3929: 3928: 3927:Acta Numerica 3923: 3919: 3918: 3913: 3907: 3902: 3900: 3896: 3893: 3888: 3885: 3881: 3876: 3873: 3869: 3864: 3861: 3858: 3853: 3850: 3846: 3841: 3838: 3834: 3829: 3827: 3825: 3823: 3819: 3815: 3810: 3807: 3803: 3798: 3795: 3789: 3785: 3782: 3780: 3777: 3775: 3772: 3770: 3767: 3765: 3762: 3761: 3757: 3755: 3753: 3737: 3729: 3725: 3716: 3712: 3703: 3699: 3690: 3686: 3682: 3676: 3673: 3668: 3664: 3660: 3655: 3651: 3644: 3636: 3632: 3626: 3618: 3616: 3584: 3547: 3542: 3541:is constant. 3510: 3500: 3479: 3459: 3449: 3429: 3421: 3416: 3413: 3410: 3406: 3400: 3397: 3392: 3387: 3383: 3374: 3358: 3355: 3352: 3347: 3330: 3327: 3324: 3319: 3301: 3280: 3271: 3267: 3265: 3228: 3190: 3149: 3147: 3143: 3135: 3133: 3131: 3124: 3116: 3111: 3108: 3090: 3086: 3082: 3077: 3073: 3066: 3062: 3056: 3048: 3044: 3040: 3035: 3031: 3024: 3020: 3008: 2990: 2986: 2982: 2974: 2966: 2961: 2957: 2950: 2942: 2938: 2934: 2926: 2918: 2913: 2909: 2902: 2896: 2875:is given by, 2861: 2854: 2846: 2842: 2838: 2832: 2824: 2820: 2815: 2808: 2805: 2799: 2793: 2787: 2779: 2760: 2752: 2747: 2743: 2719: 2711: 2706: 2702: 2678: 2670: 2666: 2642: 2634: 2630: 2621: 2617: 2613: 2608: 2606: 2598: 2596: 2593: 2589: 2585: 2582: 2578: 2550: 2547: 2542: 2538: 2534: 2529: 2525: 2519: 2512: 2509: 2504: 2500: 2496: 2491: 2487: 2481: 2475: 2470: 2464: 2461: 2458: 2452: 2443: 2438: 2430: 2329:RandomVariate 2229: 2227: 2211: 2208: 2205: 2202: 2199: 2174: 2166: 2160: 2157: 2151: 2148: 2142: 2139: 2136: 2133: 2129: 2124: 2118: 2112: 2100: 2074:inside_circle 2020:inside_circle 1867:inside_circle 1842: 1840: 1832: 1580: 1574: 1572: 1554: 1550: 1539: 1520: 1516: 1513: 1508: 1504: 1490: 1472: 1468: 1464: 1459: 1455: 1448: 1443: 1438: 1435: 1432: 1428: 1422: 1419: 1414: 1411: 1406: 1402: 1393: 1388: 1375: 1372: 1369: 1366: 1363: 1360: 1357: 1351: 1348: 1345: 1339: 1330: 1326: 1321: 1317: 1308: 1278: 1271: 1268: 1263: 1259: 1255: 1250: 1246: 1235: 1229: 1224: 1220: 1216: 1213: 1210: 1206: 1202: 1175: 1171: 1159: 1152: 1150: 1146: 1132: 1124: 1104: 1100: 1077: 1071: 1065: 1061: 1055: 1052: 1042: 1038: 1018: 1013: 1009: 1005: 997: 990: 973: 969: 966: 961: 956: 952: 948: 943: 938: 934: 930: 925: 920: 916: 911: 901: 888: 883: 878: 873: 869: 861: 857: 853: 848: 841: 819: 815: 811: 805: 786: 781: 778: 775: 771: 763: 759: 753: 749: 743: 735: 731: 696: 691: 686: 679: 673: 665: 645: 641: 634: 629: 626: 623: 619: 612: 609: 606: 602: 597: 592: 587: 583: 579: 573: 551: 549: 545: 541: 534: 527: 522: 509: 506: 503: 498: 494: 482: 470:ensures that 469: 464: 451: 445: 439: 436: 428: 408: 403: 398: 395: 392: 388: 382: 379: 374: 371: 366: 362: 358: 355: 347: 343: 330: 324: 319: 302: 299: 296: 291: 269: 264: 239: 230: 226: 223: 216:, has volume 201: 162: 140: 131: 127: 124: 117: 112: 109: 105: 101: 93: 91: 89: 85: 81: 77: 73: 68: 66: 62: 58: 54: 50: 46: 37: 32: 19: 4152: 4143: 4115: 4085: 4076: 4054: 4045: 4020: 4014: 3987: 3983: 3931: 3925: 3887: 3875: 3863: 3852: 3840: 3809: 3797: 3751: 3634: 3630: 3628: 3543: 3501: 3375:is given by 3372: 3272: 3268: 3260: 3153: 3145: 3126: 3119: 3114: 3112: 3109: 3009: 2777: 2619: 2615: 2609: 2602: 2594: 2590: 2586: 2576: 2575: 2104: 1836: 1818:insideCircle 1797:insideCircle 1605:insideCircle 1578: 1537: 1491: 1391: 1389: 1306: 1194: 1147: 992: 988: 902: 552: 536: 529: 525: 523: 465: 345: 344: 267: 265: 113: 97: 69: 48: 42: 35: 4057:. Methuen. 3906:Lepage 1978 3868:MacKay 2003 2226:Mathematica 45:mathematics 3990:(2): 190. 3914:References 2435:See also: 2398:NIntegrate 1121:. This is 546:using the 3847:, Chap. 1 3835:, Chap. 2 3816:, Chap. 7 3804:, Chap. 4 3738:… 3677:… 3598:¯ 3563:¯ 3524:¯ 3474:¯ 3444:¯ 3407:∑ 3393:≡ 3353:∈ 3342:¯ 3328:⋯ 3314:¯ 3294:¯ 3242:¯ 3204:¯ 3169:¯ 3087:σ 3074:σ 3063:σ 2958:σ 2910:σ 2744:σ 2703:σ 2548:≥ 2371:Integrate 2161:⁡ 2143:⁡ 1575:C example 1521:π 1517:π 1514:− 1429:∑ 1373:π 1335:Ω 1331:∫ 1322:π 1269:≤ 1062:σ 1019:≈ 1006:δ 970:… 953:σ 935:σ 917:σ 870:σ 772:∑ 683:⟩ 677:⟨ 674:− 660:¯ 620:∑ 610:− 584:σ 580:≡ 489:∞ 486:→ 449:⟩ 443:⟨ 423:¯ 389:∑ 372:≡ 359:≈ 328:Ω 325:∈ 314:¯ 300:⋯ 286:¯ 250:¯ 235:Ω 231:∫ 173:¯ 154:¯ 136:Ω 132:∫ 4198:Category 4106:(2003). 3934:: 1ā€“49. 3758:See also 2614:regions 2612:disjoint 2572:largest. 1837:Made in 1752:RAND_MAX 1722:RAND_MAX 1242:if  998:is thus 94:Overview 4135:2012999 4025:Bibcode 3992:Bibcode 3956:5708790 3936:Bibcode 2362:Distrib 2281:Distrib 1957:uniform 1924:uniform 1153:Example 4159:  4133:  4123:  4092:  4061:  3954:  2083:throws 2056:radius 2008:radius 1972:radius 1966:radius 1951:random 1939:radius 1933:radius 1918:random 1903:throws 1885:radius 1858:throws 1855:random 1852:import 1839:Python 1824:throws 1746:double 1716:double 1680:throws 1617:double 1593:throws 102:use a 55:using 4111:(PDF) 3965:arXiv 3952:S2CID 3790:Notes 3577:from 2356:Total 2192:from 2086:print 2005:<= 1894:while 1849:numpy 1782:randY 1776:randY 1770:randX 1764:randX 1728:randY 1698:randX 1638:srand 1626:randY 1620:randX 1599:99999 528:from 4157:ISBN 4121:ISBN 4090:ISBN 4059:ISBN 3544:The 3125:and 2735:and 2658:and 2618:and 2510:< 2254:Sinh 2233:func 2209:< 2203:< 2140:sinh 2092:area 2041:area 1900:< 1864:2000 1846:from 1785:< 1734:rand 1704:rand 1677:< 1650:NULL 1644:time 1285:else 4033:doi 4000:doi 3944:doi 2413:0.8 2386:0.8 2341:Int 2305:0.1 2293:1.1 2287:PDF 2263:Log 2200:0.8 2158:log 2047:((( 1841:. 1812:4.0 1656:for 1653:)); 1584:int 479:lim 43:In 4200:: 4131:MR 4129:. 4113:. 4031:. 4021:27 4019:. 3998:. 3986:. 3982:. 3950:. 3942:. 3930:. 3898:^ 3821:^ 3752:Kd 3266:. 2422:}] 2395:}] 2338:]; 2332:], 2323:RV 2317:10 2308:]; 2284::= 2275:); 2236::= 2228:: 2062:** 2032:+= 2023:+= 2011:** 1999:** 1987:** 1981:if 1806:pi 1794:++ 1758:if 1737:() 1707:() 1686:++ 1632:pi 1571:. 550:. 90:. 82:, 78:, 74:, 47:, 4165:. 4137:. 4098:. 4067:. 4048:. 4039:. 4035:: 4027:: 4008:. 4002:: 3994:: 3988:4 3973:. 3967:: 3958:. 3946:: 3938:: 3932:7 3735:) 3730:2 3726:x 3722:( 3717:2 3713:g 3709:) 3704:1 3700:x 3696:( 3691:1 3687:g 3683:= 3680:) 3674:, 3669:2 3665:x 3661:, 3656:1 3652:x 3648:( 3645:g 3635:K 3631:f 3603:) 3594:x 3588:( 3585:p 3559:x 3529:) 3520:x 3514:( 3511:p 3485:) 3480:i 3470:x 3463:( 3460:p 3455:) 3450:i 3440:x 3433:( 3430:f 3422:N 3417:1 3414:= 3411:i 3401:N 3398:1 3388:N 3384:Q 3373:I 3359:, 3356:V 3348:N 3338:x 3331:, 3325:, 3320:1 3310:x 3302:: 3299:) 3290:x 3284:( 3281:p 3263:N 3261:Q 3247:) 3238:x 3232:( 3229:p 3209:) 3200:x 3194:( 3191:p 3165:x 3129:b 3127:N 3122:a 3120:N 3115:d 3091:b 3083:+ 3078:a 3067:a 3057:= 3049:b 3045:N 3041:+ 3036:a 3032:N 3025:a 3021:N 2991:b 2987:N 2983:4 2978:) 2975:f 2972:( 2967:2 2962:b 2951:+ 2943:a 2939:N 2935:4 2930:) 2927:f 2924:( 2919:2 2914:a 2903:= 2900:) 2897:f 2894:( 2890:r 2887:a 2884:V 2862:) 2858:) 2855:f 2852:( 2847:b 2843:E 2839:+ 2836:) 2833:f 2830:( 2825:a 2821:E 2816:( 2809:2 2806:1 2800:= 2797:) 2794:f 2791:( 2788:E 2778:f 2764:) 2761:f 2758:( 2753:2 2748:b 2723:) 2720:f 2717:( 2712:2 2707:a 2682:) 2679:f 2676:( 2671:b 2667:E 2646:) 2643:f 2640:( 2635:a 2631:E 2620:b 2616:a 2551:1 2543:2 2539:y 2535:+ 2530:2 2526:x 2520:0 2513:1 2505:2 2501:y 2497:+ 2492:2 2488:x 2482:1 2476:{ 2471:= 2468:) 2465:y 2462:, 2459:x 2456:( 2453:f 2419:3 2416:, 2410:, 2407:x 2404:{ 2401:, 2392:3 2389:, 2383:, 2380:x 2377:{ 2374:, 2368:* 2365:] 2359:/ 2353:n 2350:/ 2347:1 2344:= 2335:n 2326:= 2320:; 2314:= 2311:n 2302:- 2299:x 2296:* 2290:, 2272:2 2269:^ 2266:) 2260:( 2257:* 2251:+ 2248:1 2245:( 2242:/ 2239:1 2212:3 2206:x 2175:2 2171:) 2167:x 2164:( 2155:) 2152:x 2149:2 2146:( 2137:+ 2134:1 2130:1 2125:= 2122:) 2119:x 2116:( 2113:f 2095:) 2089:( 2080:/ 2077:) 2071:* 2068:) 2065:2 2059:) 2053:* 2050:2 2044:= 2035:1 2029:i 2026:1 2017:: 2014:2 2002:2 1996:y 1993:+ 1990:2 1984:x 1975:) 1969:, 1963:- 1960:( 1954:. 1948:= 1945:y 1942:) 1936:, 1930:- 1927:( 1921:. 1915:= 1912:x 1906:: 1897:i 1891:1 1888:= 1882:0 1879:= 1876:i 1873:0 1870:= 1861:= 1827:; 1821:/ 1815:* 1809:= 1803:} 1800:; 1791:) 1788:1 1779:* 1773:+ 1767:* 1761:( 1755:; 1749:) 1743:( 1740:/ 1731:= 1725:; 1719:) 1713:( 1710:/ 1701:= 1695:{ 1692:) 1689:i 1683:; 1674:i 1671:; 1668:0 1665:= 1662:i 1659:( 1647:( 1641:( 1635:; 1629:, 1623:, 1614:; 1611:0 1608:= 1602:, 1596:= 1590:, 1587:i 1555:N 1551:1 1538:N 1509:N 1505:Q 1478:) 1473:i 1469:y 1465:, 1460:i 1456:x 1452:( 1449:H 1444:N 1439:1 1436:= 1433:i 1423:N 1420:1 1415:4 1412:= 1407:N 1403:Q 1392:N 1376:. 1370:= 1367:y 1364:d 1361:x 1358:d 1355:) 1352:y 1349:, 1346:x 1343:( 1340:H 1327:= 1318:I 1307:V 1279:0 1272:1 1264:2 1260:y 1256:+ 1251:2 1247:x 1236:1 1230:{ 1225:= 1221:) 1217:y 1214:, 1211:x 1207:( 1203:H 1176:N 1172:1 1133:V 1105:N 1101:1 1078:, 1072:N 1066:N 1056:V 1053:= 1048:) 1043:N 1039:Q 1035:( 1031:r 1028:a 1025:V 1014:N 1010:Q 995:N 993:Q 989:N 974:} 967:, 962:2 957:3 949:, 944:2 939:2 931:, 926:2 921:1 912:{ 889:. 884:N 879:2 874:N 862:2 858:V 854:= 849:N 845:) 842:f 839:( 835:r 832:a 829:V 820:2 816:V 812:= 809:) 806:f 803:( 799:r 796:a 793:V 787:N 782:1 779:= 776:i 764:2 760:N 754:2 750:V 744:= 741:) 736:N 732:Q 728:( 724:r 721:a 718:V 697:. 692:2 687:) 680:f 671:) 666:i 656:x 649:( 646:f 642:( 635:N 630:1 627:= 624:i 613:1 607:N 603:1 598:= 593:2 588:N 577:) 574:f 571:( 567:r 564:a 561:V 539:N 537:Q 532:N 530:Q 526:I 510:. 507:I 504:= 499:N 495:Q 483:N 452:. 446:f 440:V 437:= 434:) 429:i 419:x 412:( 409:f 404:N 399:1 396:= 393:i 383:N 380:1 375:V 367:N 363:Q 356:I 346:I 331:, 320:N 310:x 303:, 297:, 292:1 282:x 268:N 246:x 240:d 227:= 224:V 202:m 197:R 169:x 163:d 159:) 150:x 144:( 141:f 128:= 125:I 36:D 20:)

Index

Monte-Carlo integration

mathematics
numerical integration
random numbers
Monte Carlo method
definite integral
uniform sampling
stratified sampling
importance sampling
sequential Monte Carlo
mean-field particle methods
trapezoidal rule
deterministic approach
non-deterministic
multidimensional definite integral
law of large numbers
sample variance
unbiased estimate of the variance
standard error of the mean

Python
Mathematica
Stratified sampling

adaptive quadratures
stratified sampling
disjoint
Importance sampling
Metropolisā€“Hastings algorithm

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