MtxIntDiff.MonteCarlo Function

Numerical integration by Monte Carlo method.

Pascal

function MonteCarlo(Fun: TRealFunction; lb: double; ub: double; const FloatPrecision: TMtxFloatPrecision; Const Constants: TVec; Const ObjConst: Array of TObject; N: Integer = 65536): double;

File

MtxIntDiff

Parameters

Parameters	Description
Fun	Integrating function.
lb	Defines lower bound.
ub	Defines pper bound.
FloatPrecision	Defines the computational precision to be used by the routine.
Constants	Additional constants defining Fun function, usually nil/null.
ObjConst	Additional objects defining Fun function, usually nil/null.
N	Number of random points in [lb,ub] interval (see comments above).

Returns

the numerical approximate on integral of function Fun between limits lb and ub.

Description

Performs a numerical integration of function of single variable by using Monte Carlo method.

See Also

QuadGauss

Example

Evaluate fuction Sin(x) on interval [0,PI] by using Monte Carlo algorithm.

// Integrating function function IntFunc(const Pars: TVec; const Constants: TVec; Const ObjConst: Array of TObject): double; var x: double; begin x := Pars[0]; IntFunc := Sin(x); end; // Integrate procedure DoIntegrate; var area: double; begin area := MonteCarlo(IntFunc,0,PI,16,[],[],65536); // 2^16 random points in [0,PI] interval end;

#include "MtxExpr.hpp" #include "Math387.hpp" #include "MtxIntDiff.hpp" double __fastcall IntFun(TVec* const Parameters, TVec* const Constants, System::TObject* const * ObjConst, const int ObjConst_Size) { double x = (*Parameters)[0]; return Math.Sin(x); } void __fastcall Example(); { double area = MonteCarlo(IntFun,0.0,PI,NULL,NULL,65536); // 2^16 random points in [0,PI] interval }

MtxIntDiff, Functions, Example, See Also

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