文档介绍：UTLogo100Stochastic ProgrammingSchool of Management, UCASMonte Carlo?[?p￥I?????+n??Kai ******@ ProgrammingSchool of Management, UCASt!?ù)¤??êMatlab)¤U[0,1]: rand?n???Ctξ?l[0,1]?t!?ù, F(x)′???YüN?V??ù,***@oF?1(ξ)?V??ù′F(x).Pr{F?1(ξ)≤x}=Pr{ξ≤F(x)}=F(x)Kai ******@ ProgrammingSchool of Management, UCASü?_?ù?ù??ù_?êt!?ùF(x) =x?ab?aF?1(x) =a+(b?a)x?ê?ùF(x) = 1?exp(?λx)F?1(x) =?1λln(1?x)Kai ******@ ProgrammingSchool of Management, UCAS???ù)¤??êMatlab)¤N(0,1): randn?n???Ctξ?l?"?0,???1????ù,***@o(1)σξ+μ?l?"?μ,???σ2????ù,(2)exp(σξ+μ)?léê???ù.??μy2(2)Kai ******@ ProgrammingSchool of Management, UCASy2PF(x) =Pr{ξ≤x},KF(x) =Zx?∞1√2πexp??y22?′éη=σξ+μkG(x) =Pr{η≤x}=Pr?ξ≤x?μσ?=F?x?μσ?=Zx?μσ?∞1√2πexp??y22?dyéG(x)|?,?η?V??Y?êg(x) =1√2πσexp??(x?μ)22σ2?.Kai ******@ ProgrammingSchool of Management, UCAS??Ct?$?ˉK?ξ1, ξ2,· · ·, ξn′???á???Ct,§??V??ù?O′F1,F2,· · ·,Fn.?g′??n????ê,NoO?ξ=g(ξ1, ξ2,· · ·, ξn)?V??ù?~X,No?O?ξ1+ξ2, ξ1?ξ2, ξ1×ξ2±93ξ21?ξ32?V??ù?Kai ******@ ProgrammingSchool of Management, UCASV??ù?MC?[ú?1:?glV??ùF1,F2,· · ·,Fn)¤n???êx1,x2,· · ·,xn,O?g(x1,x2,· · ·,xn);ú?2:-Eú?1?Mg,??ξ?M???;ú?3:?aξ?M?????ξ?Cq?V??ù.5μ?M→∞?,?±??ξ?V??ù"Kai ******@ ProgrammingS