Monte Carlo Method, Random Number Generator, Importance Sampling, Reversetransformsampling, Rejection Sampling.
main concept of this method can be simply written in the following form, where q(x) is a proxy distribution. With Importance Sampling, instead of generating random numbers from p(x), we choose i.i.d samples {x’_i} (i=1,2,…,n) from a proxy distribution q(x) and approximate the integration value with