Monte carlo conditioning
I am trying to learn how to reduce variance with conditioning. page 15 in these lecture notes:
The notes has only one example(page 16) and I'm not how to transfer it to other integrals
If I want to calculate the integral
I integral exp(x)*sin(2*pi*x) dx
from 0 to 1.
Then what should be my conditioning expression? I know I'm supposed to have shown my work before posting, but I'm stuck at the beginning.
With condition expression I mean the form E(E(Y|Z)) as they use in the notes.
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