4 ms·
The title is worse than the actual post. You dont always need Monte-Carlo. You need integration or summation (a distinction that can be abstracted away) and for
by srean 6y ago
The title is worse than the actual post. You dont always need Monte-Carlo. You need integration or summation (a distinction that can be abstracted away) and for some forms, Monte-Carlo is a way to evaluate those integrals approximately. As the post indicates there often are cheaper alternatives, more so when one is willing to tolerate inaccuracy.
- nabla9 6y agoGood title tells something about the article, usually in very compressed way.
- deleted 6y ago[deleted]
- physicsguy 6y ago+ Monte Carlo integration goes to shit in higher dimensions...
- aaronchall 6y agoThat's why we do Hamiltonian Monte Carlo in higher dimensions.
- srean 6y agoBeats the trapezoid rule hands down though, in fact that was the main selling point of MC over other quadrature methods. MC error goes down as O 1/sqrt(n) with quasi MC one can get it down to O 1/n.
- teorema 6y ago+ MCMC can be set up in a very model-agnostic way. Analytic methods are really useful when they can be done, but often have to be worked out for each specific model.
- jumpinggenes 6y agoGibbs sampling to the rescue.
- srean 6y agoIn case the author is reading this, I really meant to say that the article is much better than what the title might indicate. I realized that my original comment can be read as if its casting a shade.