1. Rao-Blackwellisation is a general technique for improving the accuracy of sampling methods by analytically marginalizing some variables and only sampling the remainder. In its simplest form, consider the problem of estimating the expectation E [f(x)], where x is a joint product of two variables r,z.
Using direct Monte-Carlo sampling, we obtain the estimator:
lternatively, a Rao-Blackwellised estimator can be derived by sampling only the variable r, with the other variable z, being integrated out analytically:
where
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