Mean Value Theorem for Integrals and Monte Carlo Integration
The mean value theorem for integrals states that if is continuous over , then there exists a real number with such that . Writing this as shows that the area under the curve is the base times the "average height" . To estimate this integral by the Monte Carlo method, use the following steps:[more]
(1) Pick uniformly distributed numbers in the interval [,].
(2) Evaluate the function at each point and calculate the average function value: .
(3) Compute the approximate value of the integral: .[less]