| Solving equation with Monte Carlo simulation [message #14052] |
Mon, 18 January 1999 00:00  |
zanotti
Messages: 5
Registered: May 1997
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Junior Member |
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Hi,
I'm looking for a Monte-Carlo programm (C, Fortran, IDL...) that could be used to solve the following problem:
F(w)=Integration(G(w,u).H(u), u=-infinity, +infinity )
The functions F(w) is known numerically.
G(w,u) is of the form:
G(w,u)=Sigma(u)*exp( -(1/sigma(u)^2)*(w+delta(u))^2 )
where Sigma(u) and delta(u) are two functions of u.
The problem is to find numerically, h(t), the Fourier transform of H.
It seems difficult to apply the convolution theorem.
If someone has experience, information or a clever idea on the way to solve this sort of problems, please tell me,
Thank you.
JMarc
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| Re: Solving equation with Monte Carlo simulation [message #14119 is a reply to message #14052] |
Thu, 21 January 1999 00:00  |
John H West
Messages: 1
Registered: January 1999
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Junior Member |
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Jean Marc Zanotti wrote:
> I'm looking for a Monte-Carlo programm (C, Fortran, IDL...) that
> could be used to solve the following problem:
>
> F(w)=Integration(G(w,u).H(u), u=-infinity, +infinity )
>
> The functions F(w) is known numerically.
> G(w,u) is of the form:
> G(w,u)=Sigma(u)*exp( -(1/sigma(u)^2)*(w+delta(u))^2 )
> where Sigma(u) and delta(u) are two functions of u.
>
> The problem is to find numerically, h(t), the Fourier transform of H.
> It seems difficult to apply the convolution theorem.
>
> If someone has experience, information or a clever idea on the way to
> solve this sort of problems, please tell me,
> Thank you.
>
> JMarc
_Numerical_Recipes_in_C_ has, according to the index, several
references listed under "Monte Carlo"
Take a look in http://www.nr.com , or see if you can find a copy
of the text local to you.
john
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