Monte Carlo Integration in Excel

Integration Who integrating can be calculated: If y=x Then the graph representation of this equation will be as follow: y x If we want to for example to find the area under this carve when starting from x=0 to 2 (note y=x) then only way to do that is to use the integral :    

Monte Carlo Integration Another way for calculated the integration function: x B f(x)

A y x B f(x)

A y x B f(x)

Setting up Excel Spreadsheet Random Number Generator Rand()*(b-a)+a Generate a number between a and b The “Status” If(X<f(X), “below”, “above”) If value of f(X) > Y then mark “below” The “Count” If(Status=“below”,1,0) If value of status is “below” then count a “hit” Making sense of data Take total number of hits and divide by total number of points to find fraction under function Multiply calculated fraction by area of “box” to find the area under the curve.

Setting up Excel Spreadsheet