Monte Carlo Integration

*To*: mathgroup at smc.vnet.net*Subject*: [mg13808] Monte Carlo Integration*From*: Hannah Valentine <h_valentine at yahoo.com>*Date*: Fri, 28 Aug 1998 04:18:29 -0400*Organization*: University of Illinois*Sender*: owner-wri-mathgroup at wolfram.com

Hi, I'm trying to compute the expected value of an expression. In other words, I have an expression E[f(x, sigma)] where sigma is a normal random variable. This is of course, the evaluation of an integral. What I'd like to do is this : Evaluate the integral (expectation) by using monte carlo methods. My questions to all you mathematica gurus out there are as follows : (1) Is Mathematica a good way to do this kind of stuff ? I'm totally new to Mathematica. (2) I saw a command called NIntegrate in the documentation. Would I use NIntegrate to do something like this ? (3) Is there any archive of examples, where I can learn to prepare the code for such evaluation ? Please, please, please, your answers will be very much appreciated ! Thanks in advance, Hannah Valentine h_valentine at yahoo.com