C# Class Accord.Math.Integration.MonteCarloIntegration

Monte Carlo method for multi-dimensional integration.

In mathematics, Monte Carlo integration is a technique for numerical integration using random numbers. It is a particular Monte Carlo method that numerically computes a definite integral. While other algorithms usually evaluate the integrand at a regular grid, Monte Carlo randomly choose points at which the integrand is evaluated. This method is particularly useful for higher-dimensional integrals. There are different methods to perform a Monte Carlo integration, such as uniform sampling, stratified sampling and importance sampling.

Inheritance: INumericalIntegration, IMultidimensionalIntegration

Show file Open project: accord-net/framework Class Usage Examples

Public Methods

Method	Description
Clone ( ) : object	Creates a new object that is a copy of the current instance.
Compute ( ) : bool	Computes the area of the function under the selected Range. The computed value will be available at this object's Area.
Integrate ( double>.Func func, double a, double b, int samples ) : double	Computes the area under the integral for the given function, in the given integration interval, using a Monte Carlo integration algorithm.
Integrate ( double>.Func func, double a, double b ) : double	Computes the area of the function under the selected Range. The computed value will be available at this object's Area.
Integrate ( double>.Func func, double a, double b, int samples ) : double	Computes the area of the function under the selected Range. The computed value will be available at this object's Area.
MonteCarloIntegration ( int parameters ) : System	Constructs a new Monte Carlo integration method.
MonteCarloIntegration ( int parameters, double>.Func function ) : System	Constructs a new Monte Carlo integration method.
Reset ( ) : void	Manually resets the previously computed area and error estimates, so the integral can be computed from scratch without reusing previous computations.

Method Details

Clone() public method

Creates a new object that is a copy of the current instance.

public Clone ( ) : object
return	object

Compute() public method

Computes the area of the function under the selected Range. The computed value will be available at this object's Area.

public Compute ( ) : bool
return	bool

Integrate() public static method

Computes the area under the integral for the given function, in the given integration interval, using a Monte Carlo integration algorithm.

public static Integrate ( double>.Func func, double a, double b, int samples ) : double
func	double>.Func	The unidimensional function whose integral should be computed.
a	double	The beginning of the integration interval.
b	double	The ending of the integration interval.
samples	int	The number of points that should be sampled.
return	double

Integrate() public static method

Computes the area of the function under the selected Range. The computed value will be available at this object's Area.

public static Integrate ( double>.Func func, double a, double b ) : double
func	double>.Func
a	double
b	double
return	double

Integrate() public static method

Computes the area of the function under the selected Range. The computed value will be available at this object's Area.

public static Integrate ( double>.Func func, double a, double b, int samples ) : double
func	double>.Func
a	double
b	double
samples	int
return	double

MonteCarloIntegration() public method

Constructs a new Monte Carlo integration method.

public MonteCarloIntegration ( int parameters ) : System
parameters	int	The number of parameters expected by the integrand.
return	System

MonteCarloIntegration() public method

Constructs a new Monte Carlo integration method.

public MonteCarloIntegration ( int parameters, double>.Func function ) : System
parameters	int	The number of parameters expected by the .
function	double>.Func	The function to be integrated.
return	System

Reset() public method

Manually resets the previously computed area and error estimates, so the integral can be computed from scratch without reusing previous computations.

public Reset ( ) : void
return	void