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6.13 Find two importance functions f₁ and f₂ that are supported on (1,∞0) and are "close" to x2 g(x) = e √2π " x > 1. Which of your two importance functions should produce the smaller variance in estimating مر x² -x²/2 dx 2πT by importance sampling? Explain.

6.13 Find two importance functions f₁ and f₂ that are supported on (1,∞0) and are "close" to x2 g(x) = e √2π " x > 1. Which of your two importance functions should produce the smaller variance in estimating مر x² -x²/2 dx 2πT by importance sampling? Explain.

Operations Research : Applications and Algorithms
Operations Research : Applications and Algorithms
4th Edition
ISBN:9780534380588
Author:Wayne L. Winston
Publisher:Wayne L. Winston
Chapter12: Review Of Calculus And Probability
Section12.5: Random Variables, Mean, Variance, And Covariance
Problem 5P
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6.13 Find two importance functions f₁ and f₂ that are supported on (1,∞0) and are "close" to x2 g(x) = e √2π " x > 1. Which of your two importance functions should produce the smaller variance in estimating مر x² -x²/2 dx 2πT by importance sampling? Explain.
Transcribed Image Text:6.13 Find two importance functions f₁ and f₂ that are supported on (1,∞0) and are "close" to x2 g(x) = e √2π " x > 1. Which of your two importance functions should produce the smaller variance in estimating مر x² -x²/2 dx 2πT by importance sampling? Explain.
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