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Monte Carlo Simulation Adapted From Law and Kelton
What is Monte Carlo Simulation? ,[object Object]
Example ,[object Object],[object Object],[object Object]
To use simulation, let Y be that random variable (b-a)g(X), where X is a continuous random variable distributed uniformly on [a,b]. Thus,   = I
But, E(Y) can be estimated using the concept of the sample mean . Thus,
Ex. Evaluate  (Answer is 2). n 10 20 40 80 160 2.213 1.951 1.948 1.989 1.993

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Monte carlo simulation

  • 1. Monte Carlo Simulation Adapted From Law and Kelton
  • 2.
  • 3.
  • 4. To use simulation, let Y be that random variable (b-a)g(X), where X is a continuous random variable distributed uniformly on [a,b]. Thus, = I
  • 5. But, E(Y) can be estimated using the concept of the sample mean . Thus,
  • 6. Ex. Evaluate (Answer is 2). n 10 20 40 80 160 2.213 1.951 1.948 1.989 1.993