Choice of Importance
Use of Bounding
IMPORTANCE Sampling Basic Theory
(iii) Of course, it is obvious from (NI.16) that Monte Carlo integration gets better as standard deviation
Using definition of
(or remembering its name ``variance''), it follows that method is best when
is slowly varying over domain.
For instance, if
and method is exact.
Importance sampling (``sampling where integrand important'') is a technique for reducing variation of
We now apply Monte Carlo method generating
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