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an image of a pond

Integration by Rejection



There are actually many Monte-Carlo techniques for evaluating integrals, but we will consider only one of the basic ones. The technique least like standard calculus is sampling - which itself has a number of variations. Gould and Tobochnik suggest the following gedanken experiment. You are in a field containing an irregularly shaped pond and wish to determine the area of the pond using only the material at hand. You do it by first walking off a box which completely encloses the lake, and then measuring the lengths of the sides (say in terms of the natural unit feet) so you know the box's area . Now you grab a bunch of pebbles, throw them randomly up in the air, and count the number of splashes and the number which land on the ground within your box. Since the number of pebbles falling into the pond is proportional to the area of the pond , we can determine that area from the simple ratio

 

Here is the sum of the number of splashes plus the number of pebbles lying on the ground within the box.


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