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Using (pseudo-)random numbers and the Law of Large Numbers to simulate the random behavior of a real system.

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Monte Carlo Approximation on integral of Gaussian pdf on Convex Domain

I have hard time on estimating the following integral on convex domain ($\mathcal D$) using Monte-Carlo approximation. $$a = \int_{\mathcal D} dx f(x;\mu,\Sigma) $$ where $x \in \mathbb R^d$ and $f$ i …