Monte Carlo Method, Random Number Generator, Importance Sampling, Reversetransformsampling, Rejection Sampling.
distribution {x_i} (i=1,2,…,n) by calculate x_i = P^-1(u_i). Again, let's consider the Laplace distribution’s variance calculation as an example. This time we directly generate random numbers (samples) from the Laplace distribution’s probability density function using the Inverse Transform Sampling