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2 reports on different Monte Carlo methods using R. 1) Integration ; 2) Optimization

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Monte Carlo Studies in R

1) Monte Carlo Integration:

The aim of this study is to evaluate the integral of function f(x) = 3x^4 + 2x exp(x) + 1 over the interval [0,1]. The true value of this integral is 3.60. It will be used as a benchmark when comparing the methods.

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2) Optimization Methods :

The aim of this study is to find the global minimum / argmin of function f(x) = abs( x*exp(sin(x)^2) ) over the interval [-15,15]. It is clear that this function is rather complex because it has many local extrema as well as one global minimum over [-15,15]. The true value of this global minimum is x=0 where f(x=0) = 0. This will be used as a benchmark for simulation studies.

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2 reports on different Monte Carlo methods using R. 1) Integration ; 2) Optimization

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