MCMC-driven adaptive multiple importance sampling

DOI10.1007/978-3-319-12454-4_8MaRDI QIDQ5266578zbMATH OpenOpenAlexWikidataFDO

Authors Luca Martino, Víctor Elvira, David Luengo, Jukka Corander

Publication date 16 June 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-12454-4_8

zbMATH Keywords

Markov chain Monte Carlo (MCMC)stochastic optimizationstatistical inferencesampling scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sampling theory, sample surveys (62D05)

Recommendations

• Adaptive multiple importance sampling
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• Adaptive importance sampling in monte carlo integration

Cites work

• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• Adaptive multiple importance sampling
• Advanced Markov chain Monte Carlo methods. Learning from past samples.
• An adaptive Metropolis algorithm
• An introduction to MCMC for machine learning
• Markov chain Monte Carlo methods with applications to signal processing.
• Monte Carlo Bayesian signal processing for wireless communications
• Nested sampling for general Bayesian computation
• Safe and Effective Importance Sampling

Cited in

(14)

• Adaptive multiple importance sampling for Gaussian processes
• Generalized multiple importance sampling
• Layered adaptive importance sampling
• Nested adaptation of MCMC algorithms
• Use in practice of importance sampling for repeated MCMC for Poisson models
• Integrating geostatistical maps and infectious disease transmission models using adaptive multiple importance sampling
• Adapative importance sampling on discrete Markov chains
• Consistency of adaptive importance sampling and recycling schemes
• Stochastic adaptation of importance sampler
• Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysis
• Iterative importance sampling algorithms for parameter estimation
• Markov Chain Importance Sampling—A Highly Efficient Estimator for MCMC
• Adaptive multiple importance sampling
• Randomized maximum likelihood based posterior sampling

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