simplex_monte_carlo, a C++ code which uses the Monte Carlo method to estimate the integral of a function F(X) over the interior of the unit simplex in M dimensions.
The interior of the unit simplex in M dimensions is defined by the constraints:
0 <= X(1:M)
sum ( 1 <= I <= M ) X(I) <= 1
The functions F(X) are monomials, having the form
F(X) = product ( 1 <= I <= M ) X(I)^E(I)
where the exponents are nonnegative integers.
The information on this web page is distributed under the MIT license.
simplex_monte_carlo is available in a C version and a C++ version and a Fortran90 version and a MATLAB version and an Octave version and a Python version.
cpp_monte_carlo, a C++ code which uses Monte Carlo sampling to estimate areas and integrals.