3 ms·
The selling point of Monte Carlo is that regardless of dimension the estimation error is going to go down as 1/sqrt(n). That hides the dimension part in the 'co
by srean 6y ago
The selling point of Monte Carlo is that regardless of dimension the estimation error is going to go down as 1/sqrt(n). That hides the dimension part in the 'constants' and the sampling routine.
Usually one cannot afford to visit all of the space. One visits high density regions preferentially.
- mlthoughts2018 6y agoYes, agreed, I just meant why we won’t see “automatic quadrature” in the same sense as “automatic differentiation”. It’s always going to rely on adaptive sampling, for exactly this reason of dimensionality.