Monte Carlo sampling for stochastic weight functions
From MaRDI portal
Abstract: Conventional Monte Carlo simulations are stochastic in the sense that the acceptance of a trial move is decided by comparing a computed acceptance probability with a random number, uniformly distributed between 0 and 1. Here we consider the case that the weight determining the acceptance probability itself is fluctuating. This situation is common in many numerical studies. We show that it is possible to construct a rigorous Monte Carlo algorithm that visits points in state space with a probability proportional to their average weight. The same approach has the potential to transform the methodology of a certain class of high-throughput experiments or the analysis of noisy datasets.
Recommendations
- scientific article; zbMATH DE number 4047029
- Optimal weighted Monte-Carlo methods
- Monte Carlo and quasi-Monte Carlo sampling
- A Theory for Dynamic Weighting in Monte Carlo Computation
- Stochastic Approximation in Monte Carlo Computation
- scientific article; zbMATH DE number 4060614
- scientific article; zbMATH DE number 766220
- Dynamically Weighted Importance Sampling in Monte Carlo Computation
Cited in
(7)- Recurrent partial averaging in the theory of weighted Monte Carlo methods
- scientific article; zbMATH DE number 4060614 (Why is no real title available?)
- A Theory for Dynamic Weighting in Monte Carlo Computation
- Monte Carlo on Manifolds: Sampling Densities and Integrating Functions
- Analysis and optimization of weighted ensemble sampling
- Monte Carlo techniques for real-time quantum dynamics
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
This page was built for publication: Monte Carlo sampling for stochastic weight functions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4646189)
