Let g:Ω=[0,1] d →ℝ denote a Lipschitz function that can be evaluated at each point, but the price of heavy computational time. X stand for random variable with values in Ω such one is able to simulate, least approximately, according restriction law any subset Ω. For example, thanks Markov chain Monte Carlo techniques, this always possible when admits density known up normalizing constant. In co...
