Chapter6Importancesampling-UniversityofArizona

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determine if ω ∈ Sj in a reasonable amount of time. The MC algorithm is then to generate a large number, n, of samples ωi from the uniform distribution on Ω and let X be the number that are in the union U. Our estimator is then rX/n. We are computing Ep[f(ω)], where f(ω) = r1ω∈U (6.25) We are assuming r and n are both large, but suppose r/n is small.


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