郑华盛, 胡结梅, 李曦, 曹修平. 高维数值积分的蒙特卡罗方法[J]. 南昌航空大学学报(自然科学版), 2009, 23(2): 37-41.
引用本文: 郑华盛, 胡结梅, 李曦, 曹修平. 高维数值积分的蒙特卡罗方法[J]. 南昌航空大学学报(自然科学版), 2009, 23(2): 37-41.
ZHENG Hua-sheng, HU Jie-mei, LI Xi, CAO Xiu-ping. Monte Carlo Methods of high-dimensional Numerical Integration[J]. Journal of nanchang hangkong university(Natural science edition), 2009, 23(2): 37-41.
Citation: ZHENG Hua-sheng, HU Jie-mei, LI Xi, CAO Xiu-ping. Monte Carlo Methods of high-dimensional Numerical Integration[J]. Journal of nanchang hangkong university(Natural science edition), 2009, 23(2): 37-41.

高维数值积分的蒙特卡罗方法

Monte Carlo Methods of high-dimensional Numerical Integration

  • 摘要: 给出了对于任意概率密度函数产生随机数的一种方法,同时对随机数进行均匀性及独立性检验,将产生的随机数用于计算高维数值积分的蒙特卡罗平均值方法,得到了一种计算高维数值积分的改进平均值方法,并进行复化.最后,给出了几个数值算例以验证方法的有效性.

     

    Abstract: In this paper,a way of producing random numbers with arbitrary distribution are present.These random numbers are verified by uniform and independence tests.And then,the resulting random numbers is used to Monte Carlo averaged-value method of computing high-dimensional numerical integration.We obtain a kind of rectifying averaged-value method of evaluating high-dimensional numerical integration.Moreover,its compounded-form is made.Finally,several numerical examples are given to show validities of these methods.

     

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