# Questions tagged [monte-carlo]

Questions on Monte Carlo methods, methods that require the repeated generation of (pseudo-, quasi-)random numbers for computing their results.

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### Using Monte Carlo integration to find the centre of mass of a torus

How would I go about finding the centre of mass of a torus that obeys the following conditions in C (using Monte Carlo integration)? So far this is the code I have. I'm using a specific rng that ...
39 views

### How to implement a generic monte carlo algorithm for n-dimensional integration?

A very visual picture for Monte Carlo integration is the approximation of $\pi$, by sampling in a square which contains a quarter of the unit circle. We can extend this picture to 3 dimensions, by ...
128 views

### Importance Sampling for multidimensional integrals and random numbers from multivariable pdf's

I am aiming to get a numerical value for a five-dimensional integral using Monte Carlo Integration. I am getting good results using the Mean Value Method, but I would like to try to use Importance ...
87 views

### What is the best method to do a MC Integration of a multidimensional integral where the integration limits depend upon other variables?

What is the best method to do a Monte Carlo Integration of a multidimensional integral where the integration limits depend upon other variables? I am interested in getting a numerical value of a 5 ...
63 views

### Sample Average Approximation vs. Numerical Integration

To calculate the expected value of objective functions, we have two choices: Sample Average Approximation (SAA): $$\frac{1}{N}\sum_{i=1}^N f(x,\xi^i).$$ Numerical Integration (e.g., Monte Carlo ...
1 vote
374 views

### Optimization on MCMC codes

I am looking for MCMC codes with a GPU suport (like NVIDIA or OpenCL libraries) to make faster run chains. If someone could have a state of the art ...
89 views

### Montecarlo - impact of single / double precision

I am looking at a paper comparing performance of two pricers: same model (based on Monte Carlo simulation) but one implemented on CPU (C++) and one implemented on GPU (Cuda) The paper mentions the ...
51 views

### Comparison of computational complexities of MD versus MC simulations

In my humble understanding MD simulations of systems with short-range(like LJ interactions) and long-range(electrostatic) has a computational complexity $O(N . log(N))$. What will be the computational ...
171 views

### Generating particles from a distribution function using Monte Carlo

I have been given a 4D ($x, y, v_x, v_y$) distribution function, $f(x,y,v_x, v_y)$, generated by an external code. I want to generate a set of particles from this distribution function, say 10k ... 115 views

### Good method for correlated samples and estimating autocorrelation times

I'm working on a Monte Carlo project similar to the Ising model. I've found many examples on which I've based my code. From some papers I read on binning analysis, the errors after each binning step ...
63 views

### Why is perfect sampling not used in large-scale lattice model simulations?

The statistical physics literature is replete with papers describing simulations of lattice models, such as the Ising model. Typically, these are done through Monte Carlo methods, such as the ...
80 views

### Error in Monte Carlo integration

I am looking for a concise description to help me understand the error for Monte Carlo Integration using Uniform Sampling and Importance Sampling For Importance Sampling I have that the error is just ...
830 views

1k views

### Estimate information entropy through Monte Carlo sampling

I am looking for methods that allow estimating the information entropy of a distribution when the only practical ways of sampling from that distribution are Monte Carlo methods. My problem is not ...