Does Matlab have a library for Monte Carlo integration

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Radoslav Vuchkov
Radoslav Vuchkov el 29 de Jun. de 2021
Comentada: Radoslav Vuchkov el 29 de Jun. de 2021
Hello,
I have been doing some reading and I cannot seem to find a simple to use matlab library to do Monte Carlo integration in n dimentions. For my needs I want to integrate a function over a n dimentional square.
Thank you very much for the inputs and ideas.

Respuestas (1)

John D'Errico
John D'Errico el 29 de Jun. de 2021
Editada: John D'Errico el 29 de Jun. de 2021
Do they have a "library"? Not really what I would call a "library". Maybe you might. But why would they? They offer random number generation functions, which is all you need. In this case, all you need is the function RAND. RAND can generate sets of points that lie uniformly inside an n-dimensional square.
  1 comentario
Radoslav Vuchkov
Radoslav Vuchkov el 29 de Jun. de 2021
I understand what you are saying in fact I wrote the code below to do an integration over a square. However this converges really slowy and I was hoping for something a bit more safisticated if that makes sense. For example in python there is the qmcpy library where they use a bit more machinery for better/faster convergence.
sampleN = 10000000;
w = a + (b - a)*rand(d,sampleN);
MC = (1/sampleN)*sum(fun(w));

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