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tgb comments on Seeking examples of people smarter than me who got hung up - Less Wrong Discussion
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The Monty Hall problem is a classic example of smart people refusing to go against their intuition despite resounding evidence. Paul Erdős refused to accept a formal proof of the solution and only accepted it after seeing a statistical simulation give confirmation. (Source: "The Drunkard'ss Walk: How Randomness Rules our Lives" by Leonard Mlodinow.)