Langevin incremental mixture importance sampling (Q1703855)

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Langevin incremental mixture importance sampling
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    title
    Langevin incremental mixture importance sampling (English)
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    author
    Matteo Fasiolo
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    Flávio Eler de Melo
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    Simon Maskell
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    publication date
    7 March 2018
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    Mathematics Subject Classification ID
    65C40
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    60J22
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    62F15
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    zbMATH DE Number
    6847972
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    zbMATH Keywords
    importance sampling
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    Langevin diffusion
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    mixture density
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    optimal importance distribution
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    local approximation
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    Kalman-Bucy filter
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    cites work
    NUTS
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    describes a project that uses
    NUTS
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    UCI-ml
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    BRENT
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    GitHub
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    Stan
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