Importance sampling for families of distributions

DOI10.1214/AOAP/1029962870zbMath0966.60061OpenAlexW2044181424MaRDI QIDQ1578598

Mauro Piccioni, Neal Madras

Publication date: 4 September 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962870

zbMATH Keywords

importance samplingMarkov chain Monte Carlostatistical physics

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (12)

Markov chain decomposition for convergence rate analysis ⋮ Efficient high-dimensional importance sampling ⋮ Selection of importance weights for monte carlo estimation of normalizing constants ⋮ Equi-energy sampling does not converge rapidly on the mean-field Potts model with three colors close to the critical temperature ⋮ The sample size required in importance sampling ⋮ Stochastic adaptive selection of weights in the simulated tempering algorithm ⋮ Opinion formation in a heterogeneous population --- a new approach to the Hopfield model ⋮ Conditions for rapid mixing of parallel and simulated tempering on multimodal distributions ⋮ The simulated tempering method in the infinite switch limit with adaptive weight learning ⋮ On swapping and simulated tempering algorithms. ⋮ Monte Carlo study of the interacting self-avoiding walk model in three dimensions. ⋮ Mixing times for the Swapping Algorithm on the Blume-Emery-Griffiths model

Uses Software

• tsbridge

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov chains and stochastic stability
• Geometric bounds for eigenvalues of Markov chains
• Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
• Decay of correlations in classical lattice models at high temperature
• Monte Carlo study of the \(\Theta\)-point for collapsing trees
• A note on Metropolis-Hastings kernels for general state spaces
• Methods for approximating integrals in statistics with special emphasis on Bayesian integration problems
• Markov chain decomposition for convergence rate analysis
• Markov chains for exploring posterior distributions. (With discussion)
• Do stochastic algorithms avoid traps?
• Nonlocal Monte Carlo algorithm for self-avoiding walks with fixed endpoints.
• Logarithmic Sobolev inequalities for finite Markov chains
• Optimum Monte-Carlo sampling using Markov chains
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Annealing Markov Chain Monte Carlo with Applications to Ancestral Inference
• Monte Carlo sampling methods using Markov chains and their applications
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
• Monte Carlo simulation in statistical physics. An introduction.

This page was built for publication: Importance sampling for families of distributions