Simple Monte Carlo Integration Example

Lower limit

A 0

Upper limit

 B 1

Number of samples

 N 100

Function to integrate

 f x x 3

Foreign function interface

 ξ drand48

Sample value

 x i A B A ξ

Approximation to integral

 Integral 1 N i 1 N f x i

Variance in approximation to integral

 Variance 1 N i 1 N f x i 2 1 N i 1 N f x i 2

Standard error in approximation to integral

 StandardError Variance N 1 StandardError Integral Variance