jsos17/monte_carlo

Various simple experiments with the Metropolis-Hastings algorithm and ordinary Monte Carlo methods. Personal project, autumn 2019.

Monte_Carlo

Various simple and straightforward experiments with the Metropolis-Hastings algorithm and ordinary Monte Carlo methods. Some highlights:

• The performance of Metropolis-Hastings algorithm is and to .

• If X and Y are two independent exponentially distributed random variables with parameter 1, then X / (X+Y) is uniformly distributed over the open interval (0,1). This analytically derived .

• with added comparison of execution time differences between programming in basic style Python versus NumPy style Python.