蒙特卡洛方法算积分
设
x
i
i
=
1
m
{\mathbf{x}_{i}}_{i=1}^{m}
xii=1m是独立同分布的一组随机变量,
I
=
∫
f
(
x
)
d
x
∼
I
m
=
1
m
∑
i
=
1
m
f
(
x
i
)
.
I = \int f(\mathbf{x)}\mathrm{d}\mathbf{x}\sim I_{m} = \frac{1}{m}\sum_{i=1}^{m}f(\mathbf{x}_i).
I=∫f(x)dx∼Im=m1i=1∑mf(xi).
E
[
(
I
−
I
m
)
2
]
=
1
m
2
∑
i
,
j
E
[
(
I
−
f
(
x
i
)
)
(
I
−
x
j
)
]
=
1
m
V
a
r
(
f
)
.
\mathbb{E}[(I-I_{m})^2]=\frac{1}{m^2}\sum_{i,j}\mathbb{E}[(I-f(\mathbf{x}_i))(I-\mathbf{x}_j)]=\frac{1}{m}\mathrm{Var}(f).
E[(I−Im)2]=m21i,j∑E[(I−f(xi))(I−xj)]=m1Var(f).