Monte Carlo Integration

YIK LUN, KEI

allen29@ucla.edu

Example 1
R1
0 (cos(20x)

=x+

+ sin(50x))2 dx

1
80 sin(40x)

1
200 sin(100x)

1
30 cos(30x)

1
1
70 cos(70x)|0

a_1<- 1 - cos(30*1)/30 - cos(70*1)/70 + sin(40*1)/80 - sin(100*1)/200

b_0<- 0 - cos(30*0)/30 - cos(70*0)/70 + sin(40*0)/80 - sin(100*0)/200
c=a_1-b_0
n<-1000000
x<-runif(n)
f<-function(x) {(cos(20*x)+sin(50*x))^2} # Using only original function
I<-sum(f(x))/n # Sampling and find the average
I # Monte Carlo Integration
## [1] 1.046332
c # Mathemetical Method
## [1] 1.045276
integrate(f,0,1) # built in function "integrate()"
## 1.045276 with absolute error < 2.1e-10

Example 2
R 1 x2
2 /
2dx
0 e

n=10^4
x<-runif(n)
f<-function(x) {exp(-x^2/2)/sqrt(2*pi)}
I=sum(f(x))/n
I # Monte Carlo Integration
## [1] 0.3413131

+ constant

integrate(f,0,1) # built in function "integrate()"

## 0.3413447 with absolute error < 3.8e-15

Example 3
Interval between 2 and 5
R 5 x2
2 /
2dx
2 e

Integral =

Rb
a g(x)dx

y = (x a)/(b a)
x = (b a)y + a
Integral = (b a)

R1
0 g((b

a)y + a)dy

If c g(x) d on interval [a,b]

f (y) =

1
dc g(x)

c=

1
dc g(a

+ (b a)y) c

0 f (y) 1, Therefore Integral = (b a)(d c)

a=2
b=5
g=function(x) { exp(-x^2/2)/sqrt(2*pi) }
f=function(y) { (g(a+(b-a)*y)-c)/(d-c) }
c=min(g(a:b))
d=max(g(a:b))
n=10^4
x=runif(n)
I=(b-a)*(d-c)*sum(f(x))/n+c*(b-a)
I # Monte Carlo Integration

## [1] 0.02240692
integrate(g,2,5) # built in function "integrate()"

## 0.02274985 with absolute error < 2.5e-16

R1
0 g(y)dy

+ c(b a)

Example 4
Interval between 0 and 52.2155
R 52.2155
23.42056
0

x
+ 1.74564 (109 ) exp( 17.004425
) sin( (x+19.88618)
(7.88822108 ) )dx

a=0
b=52.2155
g=function(x) { -23.42056+1.74564*(10^9)*exp(-x/17.004425)*sin(pi*(x+19.88618)/(7.88822*10^8)) }
f=function(y) { (g(a+(b-a)*y)-c)/(d-c) }
c=min(g(a:b))
d=max(g(a:b))
n=10^4
x=runif(n)
I=(b-a)*(d-c)*sum(f(x))/n+c*(b-a)
I # Monte Carlo Integration

## [1] 2638.193
integrate(g,0,52.2155) # built in function "integrate()"

## 2649.597 with absolute error < 2.9e-11