An adaptive importance sampling technique

MaRDI QIDQ5482382zbMATH OpenFDO

Authors Teemu Pennanen, Matti Koivu

Publication date 28 August 2006

zbMATH Keywords

adaptive importance samplingalgorithmscomparison of methodsmultidimensional integralsnumerical examplesvariance minimization

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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(11)

• Adapative importance sampling on discrete Markov chains
• Efficient importance sampling in low dimensions using affine arithmetic
• Adaptive multidimensional integration: \textsc{vegas} enhanced
• A general purpose strategy for realizing the zero-variance importance sampling and calculating the unknown integration constant
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• scientific article; zbMATH DE number 4213411 (Why is no real title available?)
• Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
• Nonparametric Importance Sampling
• Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
• Adaptive importance sampling in monte carlo integration
• A Review of Modern Computational Algorithms for Bayesian Optimal Design

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