Integration of Multimodal Functions by Monte Carlo Importance Sampling

DOI10.2307/2290324MaRDI QIDQ5288902zbMATH OpenOpenAlexFDO

Authors Man-Suk Oh, James O. Berger

Publication date 28 February 1994

Full work available at URL https://doi.org/10.2307/2290324

zbMATH Keywords

algorithmcontrol variateimportance functionimportance samplingmixtureMonte Carlo integrationrandom variate generationvariance reductionweight function

Mathematics Subject Classification ID

Approximate quadratures (41A55) Multidimensional problems (41A63) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

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(25)

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• Computational advances for and from Bayesian analysis
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• Product-form estimators: exploiting independence to scale up Monte Carlo
• Adaptive multidimensional integration: \textsc{vegas} enhanced
• An efficient binning scheme with application to statistical crack mechanics
• Estimating and Projecting Trends in HIV/AIDS Generalized Epidemics Using Incremental Mixture Importance Sampling
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• Sequential Monte Carlo Samplers
• SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration
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• Population Quasi-Monte Carlo
• A survey of sequential Monte Carlo methods for economics and finance
• Metropolized randomized maximum likelihood for improved sampling from multimodal distributions
• Adaptive importance sampling in monte carlo integration
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• The generalized kinetic modelling of a multicomponent ``real-life fluid by means of a single distribution function
• Determine the number of states in hidden Markov models via marginal likelihood
• Improved initial sampling for the ensemble Kalman filter
• Adaptive sequential Monte Carlo by means of mixture of experts
• Optimal importance sampling for the approximation of integrals

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