Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method

DOI10.1016/j.jcp.2016.03.027zbMath1349.65007OpenAlexW2305324191MaRDI QIDQ2375153

Claudio Bierig, Alexey Chernov

Publication date: 5 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2016.03.027

zbMATH Keywords

Kullback-Leibler divergencemaximum entropy methodmultilevel Monte Carlo methodmoment matchingstatistical moments

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Convergence of probability measures (60B10) Statistical aspects of information-theoretic topics (62B10)

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