#importance-sampling

1 articles

01 ·Probability & Statistics·★ MEMBER·10 min read Monte Carlo Methods from Scratch — Solving Integrals with Dice An integral you cannot solve can still be estimated: scatter random points and take the average. This piece builds up why the law of large numbers buys you only 1/√N, what importance sampling rescues, and how MCMC samples from a distribution whose normalizing constant nobody can compute.