Exponential convergence of adaptive importance sampling for Markov chains

DOI10.1239/JAP/1014842541MaRDI QIDQ4519099zbMATH OpenOpenAlexFDO

Authors Keith A. Baggerly, Rick Picard, Dennis D. Cox

Publication date 1 August 2001

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1014842541

zbMATH Keywords

adaptive proceduresbiased random walksexponential convergenceimportance samplinglearning algorithmsMarkov chainsmedical X-raysMonte Carlo simulationnuclear reactor operationsoil explorationparticle transportradiation dosage calculationszero-variance solution

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Computational methods in Markov chains (60J22) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Stochastic particle methods (65C35) Numerical analysis or methods applied to Markov chains (65C40) Nuclear reactor theory; neutron transport (82D75) Potentials, prospecting (86A20) Biomedical imaging and signal processing (92C55)

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• Rare Event Estimation for Computer Models
• Accelerating convergence in stochastic particle dispersion simulation codes
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