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4 votes
1 answer
159 views

Intractability of an integral by deterministic numerical methods

Suppose $X_1,\ldots,X_n$ is an i.i.d. sample from a probability distribution with continuous c.d.f. $F.$ Let $F_n$ be the empirical c.d.f. $$ F_n(x) = \frac 1 n \sum_{k=1}^n \mathbf 1_{X_n\le x} = \...
5 votes
2 answers
2k views

Real world example of use of Monte Carlo method for high dimensional integrals

The Monte Carlo method for numerical integration is usually presented as a method invented to efficiently compute high dimensional integrals numerically. However, I haven't found any source which has ...