Adaptive multiple importance sampling
From MaRDI portal
Publication:3145570
DOI10.1111/J.1467-9469.2011.00756.XzbMATH Open1319.62059arXiv0907.1254OpenAlexW1665662210WikidataQ55953615 ScholiaQ55953615MaRDI QIDQ3145570FDOQ3145570
Antonietta Mira, Jean-Michel Marin, Christian P. Robert Robert, J. M. Cornuet
Publication date: 21 December 2012
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Abstract: The Adaptive Multiple Importance Sampling (AMIS) algorithm is aimed at an optimal recycling of past simulations in an iterated importance sampling scheme. The difference with earlier adaptive importance sampling implementations like Population Monte Carlo is that the importance weights of all simulated values, past as well as present, are recomputed at each iteration, following the technique of the deterministic multiple mixture estimator of Owen and Zhou (2000). Although the convergence properties of the algorithm cannot be fully investigated, we demonstrate through a challenging banana shape target distribution and a population genetics example that the improvement brought by this technique is substantial.
Full work available at URL: https://arxiv.org/abs/0907.1254
Recommendations
sequential Monte Carlopopulation geneticsparticle filtersadaptive importance samplingpopulation Monte Carlobanana shape targetdeterministic mixture weights
Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Monte Carlo methods (65C05) Taxonomy, cladistics, statistics in mathematical biology (92B10)
Cites Work
- Sequential Monte Carlo Methods in Practice
- Sequential Monte Carlo Samplers
- Title not available (Why is that?)
- A Simplex Method for Function Minimization
- An adaptive Metropolis algorithm
- Model-based cluster and discriminant analysis with the MIXMOD software
- Title not available (Why is that?)
- Monte Carlo strategies in scientific computing
- A sequential particle filter method for static models
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- Adaptive proposal distribution for random walk Metropolis algorithm
- Estimating and Projecting Trends in HIV/AIDS Generalized Epidemics Using Incremental Mixture Importance Sampling
- Weighted Average Importance Sampling and Defensive Mixture Distributions
- Title not available (Why is that?)
- Safe and Effective Importance Sampling
- Inference in Molecular Population Genetics
- A Theory for Dynamic Weighting in Monte Carlo Computation
- Convergence of adaptive mixtures of importance sampling schemes
- Minimum variance importance samplingviaPopulation Monte Carlo
- A note on the accuracy of PAC-likelihood inference with microsatellite data
Cited In (51)
- Asymptotics of the optimal value of SAA with AMIS on minimax stochastic programs
- Improved approximate Bayesian computation methods via empirical likelihood
- Recursive pathways to marginal likelihood estimation with prior-sensitivity analysis
- Layered adaptive importance sampling
- Importance sampling the union of rare events with an application to power systems analysis
- Rao–Blackwellisation in the Markov Chain Monte Carlo Era
- A principled stopping rule for importance sampling
- Multifidelity importance sampling
- Issues in the multiple try Metropolis mixing
- Distilling Importance Sampling for Likelihood Free Inference
- Sequential Monte Carlo with adaptive weights for approximate Bayesian computation
- Title not available (Why is that?)
- Importance Sampling with the Integrated Nested Laplace Approximation
- Generalized multiple importance sampling
- Incremental Mixture Importance Sampling With Shotgun Optimization
- Efficient Bayes inference in neural networks through adaptive importance sampling
- MCMC-Driven Adaptive Multiple Importance Sampling
- Gradient-based adaptive importance samplers
- A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
- Sequential ensemble transform for Bayesian inverse problems
- Daisee: Adaptive importance sampling by balancing exploration and exploitation
- The square root rule for adaptive importance sampling
- An approximate likelihood perspective on ABC methods
- Forecasting pathogen dynamics with Bayesian model-averaging: application to \textit{Xylella fastidiosa}
- Adaptive multiple importance sampling for Gaussian processes
- Transport Map Accelerated Adaptive Importance Sampling, and Application to Inverse Problems Arising from Multiscale Stochastic Reaction Networks
- Ensemble Transport Adaptive Importance Sampling
- Proposal adaptation in simulated annealing for continuous optimization problems
- Implicitly adaptive importance sampling
- MCMC-driven importance samplers
- Combining multiple surrogate models to accelerate failure probability estimation with expensive high-fidelity models
- Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
- Speeding up Monte Carlo simulations for the adaptive sum of powered score test with importance sampling
- Convergence of adaptive direction sampling
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- Moment matching adaptive importance sampling with skew-Student proposals
- Bayesian multiple quantile regression for linear models using a score likelihood
- Efficient multifidelity likelihood-free Bayesian inference with adaptive computational resource allocation
- Consistency of adaptive importance sampling and recycling schemes
- Fitting double hierarchical models with the integrated nested Laplace approximation
- Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions
- A Defensive Marginal Particle Filtering Method for Data Assimilation
- A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling
- Dating and localizing an invasion from post-introduction data and a coupled reaction-diffusion-absorption model
- Marginal Likelihood Computation for Model Selection and Hypothesis Testing: An Extensive Review
- Integrating geostatistical maps and infectious disease transmission models using adaptive multiple importance sampling
- Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
- Importance sampling and its optimality for stochastic simulation models
- Markov Chain Importance Sampling—A Highly Efficient Estimator for MCMC
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
- Adaptive Importance Sampling Based on Fault Tree Analysis for Piecewise Deterministic Markov Process
Uses Software
This page was built for publication: Adaptive multiple importance sampling
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3145570)
