Created
April 27, 2012 20:20
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Code for Monte Carlo integration of a normal PDF
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x <- seq(-4,4,length=1000) | |
y <- dnorm(x,0,1) | |
plot(x,y,type='l',ylim=c(0,.5)) | |
###Set the lower limits of interest | |
ll <- -1 | |
ul <- 1 | |
######Hit and miss MC integration##### | |
###First pick domain | |
x.dom <- seq(-4,4,length=1000) | |
y.dom <- seq(0,.5,length=1000) | |
prog <- txtProgressBar(min=0, max=n.sim, char="*", style=3) | |
n.sim <- 10000 | |
x.r <- y.r <- vector() | |
under.curve <- rep(0,n.sim) | |
for(i in 1:n.sim){ | |
###Draw random x and y | |
x.r[i] <- sample(x.dom,1) | |
y.r[i] <- sample(y.dom,1) | |
if(y.r[i] < dnorm(x.r[i],0,1)){ | |
###Set further constraints on the x axis | |
if(x.r[i] >= ll && x.r[i] <= ul){under.curve[i]<-1}} | |
setTxtProgressBar(prog, i) | |
} | |
plot(-100,-100,ylim=range(y.dom),xlim=range(x.dom),col=2,lwd=2) | |
points(x.r,y.r,col=under.curve+1,pch=19) | |
lines(x,y,col=2,lwd=4) | |
f.h <- sum(under.curve)/n.sim | |
V.samp <- diff(range(x.dom))*diff(range(y.dom)) | |
###Approximate integration value is area | |
area <- f.h*V.samp | |
###compare to the true value | |
pnorm(ul,0,1) - pnorm(ll,0,1) | |
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