Lecture 12: Monte Carlo Integration (25)
jerryzhucs21

I just found it very cool that Monte Carlo Estimator is still unbiased regardless of where we sample in the distribution. However, we can have a very inaccurate Monte Carlo estimator depending on where we sample the distribution still (such as sampling all in the same local area instead of the entire distribution).

sutkarsh

@jerryzhucs21 good observation! Another way to see this mathematically is to look at the variance of the monte carlo estimator.

yuhany1024

Monte Carlo estimator is also low-varianced if we have sufficient samples.

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