acdemiralp / monte_carlo

Single header Monte Carlo simulator.

Getting Started

• Copy monte_carlo.hpp to your project.

Example Usage

• Estimating Pi:

  // Template arguments are the data type and the random number type.
  monte_carlo<double, double> pi_estimator(
      // Sampling function. Provides a callable random number generator 
      // and expects a data type (double for this case) return value.
      [] (const std::function<double()>& rng) -> double
      {
          // Sample a point within the unit square i.e.
          // x in [0,1], y in [0,1].
          auto x = rng();
          auto y = rng();
    
          // Calculate distance from the origin.
          auto distance = sqrtf(x * x + y * y);
    
          // If the point is within the quarter circle, append 1.0.
          return distance <= 1.0 ? 1.0 : 0.0;
      },
      // Reduction function (optional). Provides two data type values 
      // and expects a data type return value.
      [] (const double& lhs, const double& rhs) -> double
      {
          return lhs + rhs;
      }
  );
  
  // Apply 30,000 times.
  auto pi = pi_estimator.simulate(30000);
  
  // Multiply by 4 to exterpolate the quarter circle to the full circle.
  pi *= 4.0;