Basics of Integration using Monte Carlo
Recently, someone asked me about Monte Carlo. So, I thought I should write this post to provide a basic introduction of performing integration using Monte Carlo. "Why integration?", you asked. Well, this is because integration is one of the main operations done in computing the posterior probability distributions used in machine learning and probabilistic filtering (e.g. Bayes filter). For example, consider the typical posterior probability expression in the Bayes filtering context, \(p(x_{t} \mid y_{1:t})\), i.e. the probability of hidden state \(x_{t}\) given the observed sequence of measurements up to the current time point \(y_{1:t}\), $$p(x_{t} \mid y_{1:t}) = \frac{p(y_{t} \mid x_{t}) p(x_{t} \mid y_{1:t-1})}{p(y_{t} \mid y_{1:t-1})}$$ The \(p(x_{t} \mid y_{1:t-1})\) is of particular interest. It can be seen as the prediction of \(x_{t}\) from previous observations \(y_{1:t-1}\) and can be expressed as $$p(x_{t} \mid y_{1:t-1}) = \int p(x_{t} \mid x_{t-1}) p(x_{t-1}
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