Monte Carlo Method, Random Number Generator, Importance Sampling, Reversetransformsampling, Rejection Sampling.
distributed (i.i.d) from the probability identity function p(x). The integration value is approximated by the mean of f(x) for all sample x. From the law of large numbers, a limitation of the Monte Carlo integration when n →∞ converges to the expectation value of f(x). Let’s calculate an