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Monte Carlo

Part of the book series: Springer Series in Operations Research ((ORFE))

Abstract

This chapter considerably broadens the range of application of the Monte Carlo method by introducing the concept of a random tour on discrete, continuous, and general state spaces. This development serves several purposes, of which the ability to sample from a multivariable distribution remains preeminent. Let {F(x), x ∈ ℋ} denote an m-dimensional d.f. defined on a region ℋ ⊆ ℝm, and let {g(x), x ∈ ℋ} denote a known function satisfying ∫ℋ g 2(x)dF(x) < ∞. Suppose that the objective is to evaluate

$$\mu \left( g \right) = \int {_x} g\left( x \right)dF\left( x \right).$$
(0)

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  1. Department of Operations Research, University of North Carolina, 27599-3180, Chapel Hill, NC, USA

    George S. Fishman

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Fishman, G.S. (1996). Random Tours. In: Monte Carlo. Springer Series in Operations Research. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-2553-7_5

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  • DOI: https://doi.org/10.1007/978-1-4757-2553-7_5

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