Monte Carlo methods

Finding functionals (traditionally integrals) approximately by guessing cleverly. Often, but not always, used for approximate statistical inference, especially certain Bayesian techniques. Probably the most prominent use case is Bayesian statistics, where various Monte Carlo methods turn out to be effective for various inference problems. This is far from the only use however.

Markov chain samplers

See Markov Chain Monte Carlo.

Multi-level Monte Carlo

Hmmm. Also multi scale monte carlo, multi index monte carlo. :construction

Sequential Monte Carlo

Filed under particle filters, and

Quasi Monte Carlo

Don’t even guess randomly, but sample cleverly using the shiny Quasi Monte Carlo.

Cross Entropy Method

For automatically adapting an importance sampling distribution. TBC.

Monte Carlo gradient estimation

See MC gradients


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