3 ms·
Something like Newton's method would probably do the trick.
by klipt 6y ago
Something like Newton's method would probably do the trick.
- acidbaseextract 6y agoThat makes sense in the analytic case, but you mean in the monte-carlo case? I presume just 4D Newton's method on the final integral over the pdf_X to get the value we're looking for? It makes sense, I'm just surprised the blog never comes out and says "you have to do a brute force search to get the parameters for the likelihoods A ~ Beta(2,13) and B ~ Beta(3,11) for P(B > A) to have about the right value".
- mlthoughts2018 6y agoYour comment sounds very confused, can you elaborate? What do you mean “in the analytics case, but you mean in the monte carlo case?” I can’t parse that sentence as a response to the parent comment. Further what do you mean by > “ the blog never comes out and says "you have to do a brute force search to get the parameters for the likelihoods A ~ Beta(2,13) and B ~ Beta(3,11) for P(B > A) to have about the right value".” What do you mean by “brute force search” here?
- mlthoughts2018 6y agoI think you mean Newton-Cotes quadrature, but be careful. “Newton’s method” will 100% of the time be taken to mean the Newton-Raphson root finding method instead, which is widely taught as “Newton’s method” (while in quadrature it’s always referred to as Newton-Cotes).