From @theogf:
Expectations.jl being a (very nice) wrapper around quadrature methods, it would feel quite natural to add Monte Carlo integration as well. My point is that for D > 3, quadrature method become very inefficient. Having a unified approach for expectations that contain both MC and Quadrature would be awesome in my opinion.
From Chris:
make sure to check out the DiffEqUncertainty talk about probabilistic optimization
From @theogf:
From Chris: