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Update 4_Applications.md
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s-baumann committed Sep 15, 2020
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6 changes: 3 additions & 3 deletions docs/src/4_Applications.md
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Expand Up @@ -414,11 +414,11 @@ $$E[G(Z)] = E_\mu \left[ G(Z)e^{-\mu^\prime Z + \frac{1}{2}\mu^\prime\mu} \right

for any $\mu \in \Re^d$ where $d$ is the dimensionality of the function $G(\cdot)$. We can simulate this with the algorithm:

for paths $i = 1, ..., N$\\
for paths $i = 1, ..., N$

generate $Z_i \sim N(\mu, I)$\\
generate $Z_i \sim N(\mu, I)$

$Y_i \leftarrow G(Z_i) \exp(-\mu^\prime Z_i + \frac{1}{2}\mu^\prime \mu)$\\
$Y_i \leftarrow G(Z_i) \exp(-\mu^\prime Z_i + \frac{1}{2}\mu^\prime \mu)$

return $\frac{\sum_{i=1}^N Y_i}{N}$

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