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Monte-Carlo integration

version 3.0.0.0 (12.3 KB) by Alexander
MC integration of n-dimensional integral with stratified and antithetic sampling

777 Downloads

Updated 11 Oct 2015

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integralN_mc integrates over N dimensional domain with possibly infinite bounds. The aim of this program is provide the user with a robust monte carlo integration routine that is able to use stratified sampling as well as antithetic sampling. Further, it can adapt the number of function calls between iterations to efficiently use vectorizations. It can also report results for each iteration or just final results (similar to fminsearch), and for 1 or 2 dimensions it plots results in a graph, if desired.

Cite As

Alexander (2021). Monte-Carlo integration (https://www.mathworks.com/matlabcentral/fileexchange/53477-monte-carlo-integration), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2014b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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