The Monte Carlo Method - page 23 / 35

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<< MC OPTIMIZATION >>
You can use random numbers to find the minimum or maximum value of a function of several variables.

Random Search

This method repeatedly evaluates the function at randomly selected values of the independent variables. If a sufficient number of samples is conducted, the optimum will eventually be located.

PROBLEM:
Use Monte Carlo Method to locate minimum of

f(x) = x² - 6x + 5

in the domain bounded by x = 1 to x = 5.

Exact solution is: f_min = -4.0 at x = 3.0