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Math — Monte Carlo Methods

Estimating integrals by random sampling.

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\hat{\mu} = \frac{1}{N}\sum_{i=1}^N f(x_i)

\text{error} \propto \frac{1}{\sqrt{N}}

\pi \approx 4\,\frac{\#\text{inside circle}}{N}

\text{more samples} \to \text{better estimate}