Monte Carlo Integral Estimates over the Unit Simplex in M Dimensions

**SIMPLEX_MONTE_CARLO**,
a C++ code which
uses the Monte Carlo method to estimate the integral of a function F(X)
over the interior of the unit simplex in M dimensions.

The interior of the unit simplex in M dimensions is defined by the constraints:

0 <= X(1:M) sum ( 1 <= I <= M ) X(I) <= 1The functions F(X) are monomials, having the form

F(X) = product ( 1 <= I <= M ) X(I)^E(I)where the exponents are nonnegative integers.

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

**SIMPLEX_MONTE_CARLO** is available in
a C version and
a C++ version and
a FORTRAN90 version and
a MATLAB version and
a Python version.

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- simplex_monte_carlo.cpp, the source code.
- simplex_monte_carlo.sh, compiles the source code.
- simplex_monte_carlo.hpp, the include file.