蒙特卡罗方法的应用及算例

Application and calculation cases of Monte Carlo method

利用概率极限定理思想,设计二重积分的蒙特卡罗算法,通过方差分析,选择适当的随机数,得到了理论意义下的方差最小算法,用实际算例验证了该方法的优良性。

The probability limit theorem is used to design a kind of Monte Carlo method of dual integral. Through analysis of variance, the proper random number sequence is chosen. The minimum variance algorithm of this theorem is obtained. The actual calculation cases prove the priority of this method.