Monte Carlo Sampling Techniques

Topics:

• Sampling from discrete probability distributons
• Probability density functions
• Cummulative density functions
• Sampling from continuous probability distributions
• The inversion method
• Transformation of variables in one dimension
• The rejection method
• Transformation of variables in multiple dimensions
• Marginal density functions
• Conditional density functions
• Multidimensional inversion sampling
• Sampling examples: hemisphere, disk, triangle, cosine-weighted hemisphere