Slitex Foilset CPS615 Numerical Integration Module

This module describes numerical integration covering first the simplest trapezoidal and Simpson's rule. This is followed by their general Newton-Cotes extensions and adaptive Simpson's Rule. Gaussian integration is briefly described. Most of the presentation is devoted to Monte Carlo methods including Importance Sampling and Metropolis Method. Examples are given from financial modelling, experimental and theoretical high energy physics.

  • Geoffrey Fox, 73:Northeast Parallel Architectures Center at Syracuse University, gcf@npac.syr.edu

  • Northeast Parallel Architectures Center, Syracuse University, npac@npac.syr.edu
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