Monte carlo techniques
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Monte Carlo techniques are often the only practical way to evaluate difficult integrals or to sample random variables governed by complicated probability density functions. Here we describe an assortment of methods for sampling some commonly occurring probability density functions.
KeywordsProbability Density Function Importance Sampling Monte Carlo Technique Random Angle Random Variate Generation
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- 2.G. Marsaglia, A. Zaman, and W.W. Tsang,Towards a Universal Random Number Generator, Supercomputer Computations Research Institute, Florida State University technical report FSU- SCRI-87-50 (1987). This generator is available as the CERNLIB routine V113, RANMAR, by F. Carminati and F. James.Google Scholar
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