Exponential convergence of adaptive importance sampling for Markov chains

DOI10.1239/jap/1014842541zbMath0966.65005MaRDI QIDQ4519099

Keith A. Baggerly, Rick Picard, Dennis D. Cox

Publication date: 1 August 2001

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1014842541

zbMATH Keywords

learning algorithms; Markov chains; importance sampling; Monte Carlo simulation; exponential convergence; particle transport; biased random walks; adaptive procedures; oil exploration; zero-variance solution; medical X-rays; nuclear reactor operations; radiation dosage calculations

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62D05: Sampling theory, sample surveys

65C05: Monte Carlo methods

60G50: Sums of independent random variables; random walks

92C55: Biomedical imaging and signal processing

65C40: Numerical analysis or methods applied to Markov chains

82D75: Nuclear reactor theory; neutron transport

86A20: Potentials, prospecting

65C35: Stochastic particle methods

Related Items

Adaptive simulation using perfect control variates, Accelerating convergence in stochastic particle dispersion simulation codes