Exercise Monte Carlo integration
- Implement plain Monte Carlo multi-dimensional integration.
- Calculate
∫0π dx/π ∫0π dy/π ∫0π dz/π
[1-cos(x)cos(y)cos(z)]-1 = Γ(1/4)4/(4π3) ≈
1.3932039296856768591842462603255
- Calculate some interesting integrals with your Monte-Carlo routine.
- Implement stratified sampling.
- Implement quasi-random sampling.