Reviewing Expected Value
Understand the principles of expected value and importance sampling applied to continuous distributions with weighted functions. This lesson helps you grasp key identities and proportional relationships essential for estimating averages from weighted samples, preparing you to implement efficient sampling algorithms in C#.
We'll cover the following...
In the previous lesson, we deduced the idea behind the “importance sampling” technique for determining the average value of a function from double to double — call it f — when it is applied to samples from a possibly-non-normalized weighted distribution of doubles — call it p.
Revision
In this lesson, we are going to do revise the concepts we learned in the previous lesson. We’ll again be using the technique “things equal to the same are equal to each other”, but this time we’re going to start from the other end. Let’s jump right in!
Again, for pedagogical purposes, we are going to consider only distributions with support from to ...