Tagged Questions

Questions on Monte Carlo methods, methods that require the repeated generation of (pseudo-, quasi-)random numbers for computing their results.

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Variance of Importance Weights in Importance Sampling

What is the variance of importance weights in Importance Sampling? Is it good to reduce the variance of importance weights and why? And what is the optimum proposal in importance sampling? I assume ...
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How to determine the transition probability in Sequential Importance Sampling (SIS) for Particle Filter

Given a state-space model \begin{align} x_k &= f_k(x_{k-1}, v_{k-1}),\\ z_k &= h_k(x_k, w_k), \end{align} where $x_k \in {\mathbb R}^{n}$ and $y_k \in {\mathbb R}^{m}$ are the system state ...
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How to generate “independent” quasi random numbers

I am studying Monte-Carlo simulations using quasi random numbers and encounter the following problem: I am given a set of 1D quasi-random numbers $(X_i)$ over $[0,1)$, and would like to generate ...
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Exercises on the following topics on Markov Chains

We are being taught the following topics in Markov Chains: 1) Markov Chain Monte Carlo: Hard Core model, Counting random q-colourings of a graph 2) Total variation distance for a Simple Symmetric ...
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Monte Carlo Simulation- Simulating Sum of a DICE. Matlab CODE.

Hello everyone, I try to solve the following problem: Use Monte Carlo simulation to approximate the sum of the 100 consecutive rolls of a fair die. My work in math lab is: ...
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$\theta=\int_{0}^{2}3e^{-3x}dx$ Compute theta using Monte-Carlo Method

$\theta=\int_{0}^{2}3e^{-3x}dx$ Using Monte-Carlo method estimate the confidence intervals for the integral above. Use a distribution different from the uniform distribution to minimize the ...
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Quasi Monte Carlo or Gaussian Hermite quadrature for a statistical model with random effect

In my likelihood function, I need to integrate a random effect out as follows $$\int g(x,c)\exp(-c^2/2)dc .$$ Since the likelihood function is really complicated, I need the approximation to be fast ...
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Monte Carlo integration and variance

With the monte carlo integration of a function f(x), what do they mean with the variance? Is it the variance of the function we want to integrate? $I = ∫^{\inf}_{inf} f(x)p(x) dx$ (with p(x) some ...
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Numerical method to fit arbitrary 3D curve by distributing perturbing elements on a 2D grid

I am looking for help in choosing and possibly implementing an appropriate algorithm or method to solve the following problem: I have a surface that has a property $A(r)$ that I want minimized. I ...
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Intuition behind rejection sampling proof

I have a quick question about the proof of rejection sampling. Suppose we know how to sample from a distribution with $Y$ pdf $q$, and want to sample from a distribution $X$ with (known) pdf $\pi$. ...
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Comparing Monte Carlo estmated PI and the real value PI

A famous example of Monte Carlo integration is the Monte Carlo estimate of PI. The unit disk { (x, y) : x2 +y2 <= 1 } is inscribed in the square [ 1, 1] x [ 1, 1], which has area 4. If we ...
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Monte Carlo Importance Sampling - Finding the new distribution

I'm currently working on a project which requires the implementation of importance sampling to reduce the variance when pricing an option. I think I understand the theory behind what should be going ...
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Calculating integral with antithetic variables

Use simulation with antithetic variables and find $$\int_{-\infty}^\infty \int_0^\infty \sin(x+y)e^{-x^2+4x-y} \, dx \, dy.$$ so, my question and doubt is how struggle with the infinite limit ? It ...
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Mistake in generating random numbers - no irrational ones

Hi I just wondered if the probability densities have to be corrected when using them on a PC since the number representation is not at all continuous. So we cant simulate any irrational numbers and ...
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How to use the Monte Carlo method with curve fitting

I have an assignment in which I need to choose statistical data from the Australian Bureau of Statistics and fit a curve to it. I've chosen the slaughtering of bulls in NSW (first Excel file, C:143-C:...
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How does the Metropolis Algorithm work? (for idiots)

I have the mathematical skills of a house brick and I am desperately trying to learn this algorithm from a computer science perspective. Below is my knowledge of the algorithm. Can someone please ...
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Integral over space filling curve

Generalizations of the Dirac delta ($\delta$) function ([1]) seemingly enable the expression of $d-1$ dimensional (surface) integrals as $d$ dimensional (volume) integrals in the following form: \...