(en.wikipedia.org) Monte Carlo integration - Wikipedia

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In mathematics, Monte Carlo integration is a technique for numerical integration using random numbers. It is a particular Monte Carlo method that numerically computes a definite integral. While other algorithms usually evaluate the integrand at a regular grid, Monte Carlo randomly chooses points at which the integrand is evaluated. This method is particularly useful for higher-dimensional integrals.

There are different methods to perform a Monte Carlo integration, such as uniform sampling, stratified sampling, importance sampling, sequential Monte Carlo (also known as a particle filter), and mean-field particle methods.

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