Monte Carlo methods

Finding functionals (traditionally integrals) approximately by guessing cleverly. Often, but not always, used for approximate statistical inference, especially certain Bayesian techniques.

Or don’t even guess randomly, but sample cleverly using the shiny Quasi Monte Carlo. See also sequential Monte Carlo, and and probably the most prominent use case, Bayesian statistics.

Markov chain samplers

See Markov Chain Monte Carlo.

Multi-level Monte Carlo

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

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