This is the third part of a three part post. The first part covered the early history of Monte Carlo and the rejection sampling method, the second part covered sequential Monte Carlo.

Part 3

In this part we are going to look at Markov chain Monte Carlo.

The video files …

This is the second part of a three part post. The last part covered the early history of Monte Carlo and the rejection sampling method.

Part 2

In this part we are going to look at importance sampling and sequential Monte Carlo.

The video files are also available for offline …

Some time ago in June 2013 I gave a lab tutorial on Monte Carlo methods at Microsoft Research. These tutorials are seminar-talk length (45 minutes) but are supposed to be light, accessible to a general computer science audience, and fun.

In this tutorial I explain and illustrate a number of …

This article is about multilevel splitting, a method for estimating the probability of rare events.

Estimating the probability of rare events is important in many fields. One vivid example is in the study of reliability of systems; imagine for example, that we are responsible for building a mechanical structure such …

The multivariate normal distribution is one of the most important probability distributions for multivariate data. In this post we will look at the entropy of this distribution and how to estimate the entropy given an iid sample.

For a multivariate normal distribution in \(k\) dimensions in standard form with mean …