Acceleration on Adaptive Importance Sampling with Sample Average Approximation
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Publication:5350440
DOI10.1137/15M1047192zbMath1372.65005MaRDI QIDQ5350440
Publication date: 1 September 2017
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1047192
algorithm; convergence; importance sampling; Monte Carlo simulations; central limit theorem; variance reduction; exponential family; numerical result; small sample sizes; sample average approximation; multivariate probability laws
60F05: Central limit and other weak theorems
65C05: Monte Carlo methods
60E05: Probability distributions: general theory
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Uses Software
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