Python, Monte Carlo, Monte Carlo Simulation, Importance Sampling, Machine Learning.
as q(x) is greater than 0 whenever p(x) *f(x) is non-zero. That gives us the following new integral. Looking at how I’ve bracketed things we can see that it’s the probability-weighted average of a new function where the probability is given by q(x) instead of p(x). So just like we did earlier, we