Importance sampling for families of distributions (Q1578598): Difference between revisions

Importance sampling methods are developed in the context of Monte Carlo Markov chain simulation methods in statistical physics. Two choices of importance sampling methods are considered and applied to two examples (mean field Ising model with importance sampling uniform over energy levels and the witch's hat distribution with importance sampling by mixtures of distributions). Asymptotic results are derived and proven.

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reviewed by

Thomas Siegl

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zbMATH Keywords

Markov chain Monte Carlo

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statistical physics

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importance sampling

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describes a project that uses

tsbridge

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1214/aoap/1029962870

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cites work

Q4287452

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Q4272783

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Monte Carlo simulation in statistical physics. An introduction.

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Nonlocal Monte Carlo algorithm for self-avoiding walks with fixed endpoints.

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Markov chains for exploring posterior distributions. (With discussion)

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Logarithmic Sobolev inequalities for finite Markov chains

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Geometric bounds for eigenvalues of Markov chains

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Do stochastic algorithms avoid traps?

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Q3681702

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Methods for approximating integrals in statistics with special emphasis on Bayesian integration problems

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Q4865046

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Q4362334

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Annealing Markov Chain Monte Carlo with Applications to Ancestral Inference

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Q4864274

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Decay of correlations in classical lattice models at high temperature

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Monte Carlo sampling methods using Markov chains and their applications

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Monte Carlo study of the \(\Theta\)-point for collapsing trees

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Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions

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Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes

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Markov chain decomposition for convergence rate analysis

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Q4715947

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Markov chains and stochastic stability

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Optimum Monte-Carlo sampling using Markov chains

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Q3135094

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Q4272782

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Q4378387

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Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

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Q5656203

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A note on Metropolis-Hastings kernels for general state spaces

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Identifiers

zbMATH Open document ID

0966.60061

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DOI

10.1214/aoap/1029962870

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1578598

@@ Property / full work available at URL @@
+https://doi.org/10.1214/aoap/1029962870
+Normal rank
@@ Property / OpenAlex ID @@
+W2044181424
@@ Property / OpenAlex ID: W2044181424 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4287452
@@ Property / cites work: Q4287452 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4272783
@@ Property / cites work: Q4272783 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo simulation in statistical physics. An introduction.
+Normal rank
@@ Property / cites work @@
+Nonlocal Monte Carlo algorithm for self-avoiding walks with fixed endpoints.
+Normal rank
@@ Property / cites work @@
+Markov chains for exploring posterior distributions. (With discussion)
+Normal rank
@@ Property / cites work @@
+Logarithmic Sobolev inequalities for finite Markov chains
+Normal rank
@@ Property / cites work @@
+Geometric bounds for eigenvalues of Markov chains
@@ Property / cites work: Geometric bounds for eigenvalues of Markov chains / rank @@
+Normal rank
@@ Property / cites work @@
+Do stochastic algorithms avoid traps?
@@ Property / cites work: Do stochastic algorithms avoid traps? / rank @@
+Normal rank
@@ Property / cites work @@
+Q3681702
@@ Property / cites work: Q3681702 / rank @@
+Normal rank
@@ Property / cites work @@
+Methods for approximating integrals in statistics with special emphasis on Bayesian integration problems
+Normal rank
@@ Property / cites work @@
+Q4865046
@@ Property / cites work: Q4865046 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4362334
@@ Property / cites work: Q4362334 / rank @@
+Normal rank
@@ Property / cites work @@
+Annealing Markov Chain Monte Carlo with Applications to Ancestral Inference
+Normal rank
@@ Property / cites work @@
+Q4864274
@@ Property / cites work: Q4864274 / rank @@
+Normal rank
@@ Property / cites work @@
+Decay of correlations in classical lattice models at high temperature
+Normal rank
@@ Property / cites work @@
+Monte Carlo sampling methods using Markov chains and their applications
+Normal rank
@@ Property / cites work @@
+Monte Carlo study of the \(\Theta\)-point for collapsing trees
+Normal rank
@@ Property / cites work @@
+Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
+Normal rank
@@ Property / cites work @@
+Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
+Normal rank
@@ Property / cites work @@
+Markov chain decomposition for convergence rate analysis
+Normal rank
@@ Property / cites work @@
+Q4715947
@@ Property / cites work: Q4715947 / rank @@
+Normal rank
@@ Property / cites work @@
+Markov chains and stochastic stability
@@ Property / cites work: Markov chains and stochastic stability / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum Monte-Carlo sampling using Markov chains
@@ Property / cites work: Optimum Monte-Carlo sampling using Markov chains / rank @@
+Normal rank
@@ Property / cites work @@
+Q3135094
@@ Property / cites work: Q3135094 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4272782
@@ Property / cites work: Q4272782 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4378387
@@ Property / cites work: Q4378387 / rank @@
+Normal rank
@@ Property / cites work @@
+Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
+Normal rank
@@ Property / cites work @@
+Q5656203
@@ Property / cites work: Q5656203 / rank @@
+Normal rank
@@ Property / cites work @@
+A note on Metropolis-Hastings kernels for general state spaces
+Normal rank