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Improved Monte Carlo Integration

We have presented a simple brute force approach to integration with the Monte Carlo method. There we sampled over a given number of points distributed uniformly in the interval [0,1] \begin{equation*} I=\int_0^1 f(x)dx=\langle f\rangle. \end{equation*} Here we introduce two important steps which in most cases improve upon the above simple brute force approach with the uniform distribution, namely

  • change of variables and
  • importance sampling