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You are on page 1of 7

Area Under a Curve

In this section we illustrate the use of Monte Carlo simulation to model a deterministic

behavior, the area under a curve. We begin by nding an approximate value to the area under a

nonnegative curve. Speci cally, suppose y D f .x/ is some given continuous nfunction

satisfying 0 f .x/ M over the closed interval a x b. Here, the number M is simply some

constant that bounds the function. This situation is depicted in Figure 5.2. Notice that the area

we seek is wholly contained within the rectangular region of height M and length b a (the

length of the interval over which defined).

Now we select a point P .x; y/ at random from within the rectangular region. We will do

so by generating two random numbers, x and y, satisfying a x b and 0 y M , and interpreting

them as a point P with coordinates x and y. Once P .x; y/ is selected, we ask whether it lies

within the region below the curve. That is, does the y-coordinate satisfy 0 y f .x/? If the

answer is yes, then count the point P by adding 1 to some counter.

Two counters will be necessary: one to count the total points generated and a second to count

those points that lie below the curve (Figure 5.2). You can then calculate an approximate

value for the area under the curve by the following formula:

area of rectangle total number of random points

As discussed in the Introduction, the Monte Carlo technique is probabilistic and typically

requires a large number of trials before the deviation between the predicted and true values

becomes small. A discussion of the number of trials needed to ensure a predetermined level of

con dence in the nal estimate requires a background in statistics. However, as a general rule,

to double the accuracy of the result (i.e., to cut the expected error in half), about four times as

many experiments are necessary.

The following algorithm gives the sequence of calculations needed for a general com-puter

simulation of this Monte Carlo technique for nding the area under a curve

Output AREA = approximate area under the speci ed curve y = f (x) over the given

Step 2 For i D 1; 2; : : : ; n, do Steps 3 5.

Step 3 Calculate random coordinates xi and yi that satisfy axi b and 0 yi <

M.

Step 4 Calculate f .xi / for the random xi coordinate.

Step 5 If yi f .xi /, then increment the COUNTER by 1. Otherwise, leave

COUNTER as is.

Step 6 Calculate AREA D M.b a/ COUNTER=n.

Step 7 OUTPUT (AREA)

STOP

Table 5.1 gives the results of several different simulations to obtain the area beneath the

curve y D cos x over the interval =2 x =2, where 0 cos x < 2.

The actual area under the curve y D cos x over the given interval is 2 square units. Note

that even with the relatively large number of points generated, the error is signi cant. For

functions of one variable, the Monte Carlo technique is generally not competitive with

quadrature techniques that you will learn in numerical analysis. The lack of an error bound

and the dif culty in nding an upper bound M are disadvantages as well. Nevertheless, the

Monte Carlo technique can be extended to functions of several variables and becomes more

practical in that situation.

Let's consider nding part of the volume of the sphere

The methodology to approximate the volume is very similar to that of nding the area under a

curve. However, now we will use an approximation for the volume under the surface by the

following rule

Monte Carlo Volume Algorithm

f .x; y/ in the rst octant, x > 0, y > 0, z > 0.

general, a xi b, c yi d, 0 zi M .)

COUNTER as is.

Step 6 Calculate VOLUME D M.d c/.ba/COUNTER=n.

STOP

The actual volume in the first octant is found to be approximately 0:5236 cubic units. =6/.

Generally, though not uniformly, the error becomes smaller as the number of points generated

increases.

PROBLEMS 5.1

according to the following scheme: 55% of the tickets contain a 1,

35% contain a 2, and 10% contain a 3. A participant in the lottery

wins a prize by obtaining all three numbers 1, 2, and 3. Describe

an experiment that could be used to determine how many tickets

you would expect to buy to win a prize.

2. Two record companies, A and B, produce classical music

recordings. Label A is a budget label, and 5% of A's new compact

discs exhibit signi cant degrees of warpage. Label B is

manufactured under tighter quality control (and consequently more

expensive) than A, so only 2% of its compact discs are warped.

You purchase one label A and one label B recording at your local

store on a regular basis. Describe an experiment that could be used

to determine how many times you would expect to make such a

purchase before buying two warped compact discs for a given sale.

3. Using Monte Carlo simulation, write an algorithm to calculate an

approximation to by considering the number of random points

selected inside the quarter circle

Q W x2 C y2 D 1; x 0; y 0

where the quarter circle is taken to be inside the

square

SW0x 1 and 0 y 1

p

4. Use Monte Carlo simulation to approximate the area under the curve f .x/ D x, over the

interval 12 x 32 .

5. Find the area trapped between the two curves y D x2 and y D 6 x and the x- and y-axes.

6. Using Monte Carlo simulation, write an algorithm to calculate that part of the volume of

an ellipsoid

x2 C y2 C z2 16 2 4 8

7. Using Monte Carlo simulation, write an algorithm to calculate the volume trapped be-

tween the two paraboloids

z D 8 x2 y2 and z D x2 C 3y2

Note that the two paraboloids intersect on the elliptic cylinder

x2 C 2y2 D 4

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