Monte Carlo Methods in Practice (Monte Carlo Integration)In a monte carlo integration though, the samples need to be uniformly distributed. If you generate a high concentration of samples in some region of the function (because the PDF is high in this region), the result of the Monte Carlo integration will be clearly biased. Dividing f(x) by pdf(x) though will counterbalance this effect. Indeed, when the pdf is high (which is also where more samples ...
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