Optimal L₂-norm empirical importance weights for the change of probability measure

DOI10.1007/S11222-016-9644-3MaRDI QIDQ2361444zbMATH OpenOpenAlexFDO

Authors Sergio Amaral, Douglas Allaire, 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 measuredensity ratioempirical measureimportance weightquadratic programRadon-Nikodym theorem

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(4)

• 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
• A distributions-based approach for data-consistent inversion

Describes a project that uses

Uses Software

• GPDT
• CUDA
• TESTPACK

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