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Monte Carlo integration, 2D
Integrates via Monte Carlo a volume delimited by an irregular surface.
2024.Nov.25 04:26:12
a, b Semi-major and semi-minor axes of ellipse. •
lgN, .seed (lg) N. of trials, random no. gener. seed. •
Show values Shows the coordinates of the graph. •

Integrates, via the Monte Carlo technique, a function of 2 variables, i.e., calculates a volume, from [AMTH142], p 7: an elliptical cylinder topped by an "irregular" surface (Fig.), given by z = sin(√[ln(x + y + 1)]). The (vertical) elliptic cylinder ([(xa) ⁄ a]² + [(yb) ⁄ b]² = 1, not shown) has section tangent to both x- and y-axes, with center at (a, b). The original problem has a = b = 1⁄2.

The Monte Carlo integration technique is simple and advantageous for dimensions of 2 or more. (The classical numerical methods such as Simpson's rule are better for one-dimensional integration.)

A plot is drawn showing the (random) progress of the simulation towards its final value.

Other suggested data: (0.5, 0.5), giving V ≅ 0.568.

Fig.
References: Plate: MCintegration2D

AMTH142.pdf (Univ. of New England, .au)

• Google: "Monte Carlo integration"

• Wikipedia "Ellipse.

• 1804-12-10: Jacobi, Carl Gustav Jacob (1851-02-18) (Ada Lovelace).

 
 
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Created: 2017-12-10 — Last modified: 2017-12-12