Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
DOI10.1016/J.CAM.2017.01.029zbMATH Open1360.65044OpenAlexW2581511186MaRDI QIDQ515795FDOQ515795
Publication date: 16 March 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2017.01.029
Recommendations
central limit theoremimportance samplingnumerical resultsvariance reductionstochastic approximationexponential familyadaptive algorithmsbypass distributionmultivariate probability laws
Monte Carlo methods (65C05) Sampling theory, sample surveys (62D05) Analysis of variance and covariance (ANOVA) (62J10) Central limit and other weak theorems (60F05)
Cites Work
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Cited In (10)
- Adaptative Monte Carlo Method, A Variance Reduction Technique
- Optimizing Adaptive Importance Sampling by Stochastic Approximation
- Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
- Adaptive importance sampling and control variates
- Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
- Coupling importance sampling and multilevel Monte Carlo using sample average approximation
- Sampling and change of measure for Monte Carlo integration on simplices
- Batching Adaptive Variance Reduction
- Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
- Acceleration on Adaptive Importance Sampling with Sample Average Approximation
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