Monte Carlo Method, Random Number Generator, Importance Sampling, Reversetransformsampling, Rejection Sampling.
the following calculation. Here, p(x)/q(x) is called importance of the sampling. Now, let’s use a Laplace distribution’ variance calculation as an example. Consider f(x)=x² and a probability density function p(x)=1/2 Exp(-|x|). The distribution with density function like p(x) is called Laplace