Discussion 6

Bullets

• Monte Carlo integration
  • "Curse of dimensionality"
  • Monte Carlo estimator $F_N = \frac{1}{N} \sum_{i=1}^{N} \frac{f(X_i)}{p(X_i)}$
• Importance sampling
• Draw samples from desired distribution
  • Inverse CDF
  • Draw uniform samples from circle

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🖍 Board work for everything