## Friday, June 3, 2011

### Monte Carlo integration

As I am reading about Particle Filter, just for fun, I wrote a Matlab program that performs Monte Carlo integration using uniform distribution. The equation and the program are as follows.
clc;
close all;
clear all;
%--------------------------------------
%Monte Carlo Integration
%--------------------------------------
%--------------------------------------
%limits
LowerLimit=1;
UpperLimit=3;
%--------------------------------------
%generate uniformly distributed random
%numbers within the range
n=10000;
x=LowerLimit+(UpperLimit-LowerLimit)*rand(n,1);
%--------------------------------------
%Probability distribution function for
%uniformly distributed random numbers
q=1/(UpperLimit-LowerLimit);
%--------------------------------------
%function to integrate
f=3.*x.*x;
i=mean(f./q)
%--------------------------------------


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