Optimal \(L_2\)-norm empirical importance weights for the change of probability measure

DOI10.1007/s11222-016-9644-3zbMath1505.62028OpenAlexW2395998677MaRDI QIDQ2361444

Douglas Allaire, Sergio Amaral, Karen Willcox

Publication date: 30 June 2017

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-016-9644-3

zbMATH Keywords

change of measurequadratic programempirical measureRadon-Nikodym theoremdensity ratioimportance weight

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Learning and adaptive systems in artificial intelligence (68T05) Quadratic programming (90C20) Numerical quadrature and cubature formulas (65D32)

Related Items (3)

Reweighting samples under covariate shift using a Wasserstein distance criterion ⋮ A Two-Phase Gradient Method for Quadratic Programming Problems with a Single Linear Constraint and Bounds on the Variables ⋮ Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models

Uses Software

• CUDA
• GPDT
• TESTPACK

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