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<< MC OPTIMIZATION >>

Algorithm: for minima

 Determine N       (# of  experiment)
 Determine a and b (domain [a,b])
 Set fmin = 9E9    (very large value)

 LOOP from i=0 to N
     Generate a random number R 
     from a uniform distribution

     Set x = a + (b-a)*R

     Check IF F(x) < fmin  THEN 
       fmin = F(x)
       xmin = x
     END IF
 END LOOP 

 OUTPUT N, xmin, fmin

Output: for a=1, b=5

    N         xmin      fmin
---------   --------  ---------
       10   3.215880  -3.953396
      100   2.974332  -3.999341
    1,000   2.994102  -3.999965
   10,000   3.000074  -4.000000
  100,000   3.000074  -4.000000


The computer implementations of the algorithm : mc-min.f90 | mc-min.c