Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws

DOI10.1016/J.CAM.2017.01.029MaRDI QIDQ515795zbMATH OpenOpenAlexFDO

Authors Reiichiro Kawai

Publication date 16 March 2017

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2017.01.029

zbMATH Keywords

central limit theoremimportance samplingnumerical resultsvariance reductionstochastic approximationexponential familyadaptive algorithmsbypass distributionmultivariate probability laws

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sampling theory, sample surveys (62D05) Analysis of variance and covariance (ANOVA) (62J10) Central limit and other weak theorems (60F05)

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Cites work

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Cited in

(16)

• Robust adaptive importance sampling for normal random vectors
• Layered adaptive importance sampling
• Adaptative Monte Carlo Method, A Variance Reduction Technique
• Adaptive importance sampling and control variates
• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Acceleration on adaptive importance sampling with sample average approximation
• Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
• Universal Simulation Distributions
• Convergence and efficiency of adaptive importance sampling techniques with partial biasing
• Coupling importance sampling and multilevel Monte Carlo using sample average approximation
• Adaptive importance sampling for optimization under uncertainty problems
• Optimizing adaptive importance sampling by stochastic approximation
• Sampling and change of measure for Monte Carlo integration on simplices
• Batching Adaptive Variance Reduction
• A framework for adaptive Monte Carlo procedures
• Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates

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