Answered: 6.10 Use Monte Carlo integration with…

6.10 Use Monte Carlo integration with antithetic variables to estimate e Ꮖ dx, 1+x2 and find the approximate reduction in variance as a percentage of the variance without variance reduction.

Operations Research : Applications and Algorithms

4th Edition

ISBN:9780534380588

Author:Wayne L. Winston

Publisher:Wayne L. Winston

Chapter12: Review Of Calculus And Probability

Section12.5: Random Variables, Mean, Variance, And Covariance

Problem 5P

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Question

using r language

6.10 Use Monte Carlo integration with antithetic variables to estimate
e
Ꮖ
dx,
1+x2
and find the approximate reduction in variance as a percentage of the
variance without variance reduction.

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