Safe adaptive importance sampling: a mixture approach

DOI10.1214/20-AOS1983zbMath1472.62016arXiv1903.08507OpenAlexW3149189374MaRDI QIDQ2039792

Bernard Delyon, François Portier

Publication date: 5 July 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.08507

zbMATH Keywords

Monte Carlo methodscentral limit theoremmartingale methodskernel density estimationsubsamplingadaptive importance sampling

Mathematics Subject Classification ID

Density estimation (62G07) Central limit and other weak theorems (60F05) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Martingales with continuous parameter (60G44)

Related Items (3)

Unnamed Item ⋮ Infinite-dimensional gradient-based descent for alpha-divergence minimisation ⋮ Collective proposal distributions for nonlinear MCMC samplers: mean-field theory and fast implementation

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