02-Monte Carlo Algorithms

Monte Carlo Algorithms

一大类随机算法，根据随机样本来估计真实值

一、Integration

• We are given a function, e.g：

  

• Calculate the integral:

  

• If \(f(x)\) is very involved, there is no way to analytically calculate the
  integral.

• Using Monte Carlo to approximate the integral.

1.1 单目标函数

例子

1.2 多目标函数

例子

二、Estimate of Expectation