Consistency of adaptive importance sampling and recycling schemes

DOI10.3150/18-BEJ1042zbMath1466.62157OpenAlexW3087402115WikidataQ126914326 ScholiaQ126914326MaRDI QIDQ2419666

Mohammed Sedki, Jean-Michel Marin, Pierre Pudlo

Publication date: 14 June 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1560326434

zbMATH Keywords

importance samplingMonte Carlo methodsadaptive algorithmssequential Monte Carlotriangular arrayspopulation Monte Carlo

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05)

Related Items (9)

Layered adaptive importance sampling ⋮ Markov Chain Importance Sampling—A Highly Efficient Estimator for MCMC ⋮ Gradient-based adaptive importance samplers ⋮ Adaptive multiple importance sampling for Gaussian processes ⋮ Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates ⋮ Adaptive Importance Sampling Based on Fault Tree Analysis for Piecewise Deterministic Markov Process ⋮ Forecasting pathogen dynamics with Bayesian model-averaging: application to \textit{Xylella fastidiosa} ⋮ Safe adaptive importance sampling: a mixture approach ⋮ Integrating geostatistical maps and infectious disease transmission models using adaptive multiple importance sampling

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• Particle Markov Chain Monte Carlo Methods
• Weighted Average Importance Sampling and Defensive Mixture Distributions
• Adaptive multiple importance sampling for Gaussian processes
• Minimum variance importance samplingviaPopulation Monte Carlo

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