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Tejesh-Raut / integration-monte-carlo.py
Last active September 28, 2020 19:13
Evaluate integral using Monte-Carlo simulation in Python
import numpy as np
from scipy.stats import uniform
np.random.seed(0)
mcos_estimates = [None]*50
mcos_std = [None]*50
for i in range(1,51):
unif_array = uniform.rvs(size = i*1000)*2
import matplotlib.pyplot as plt
cos_analytical_value = np.sin(2)
plt.plot([cos_analytical_value]*50)
plt.plot(mcos_estimates, '.')
plt.plot(cos_analytical_value + np.array(mcos_std)*3, 'r')
plt.plot(cos_analytical_value - np.array(mcos_std)*3, 'r')
plt.xlabel('Sample size')
plt.ylabel('Monte Carlo estimate')