An adaptive importance sampling technique

zbMATH Open1097.65008MaRDI QIDQ5482382FDOQ5482382

Authors: Teemu Pennanen, Matti Koivu 

Publication date: 28 August 2006

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zbMATH Keywords

algorithmsnumerical examplesmultidimensional integralscomparison of methodsvariance minimizationadaptive importance sampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cited In (5)

• Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
• A Review of Modern Computational Algorithms for Bayesian Optimal Design
• Adapative importance sampling on discrete Markov chains
• Efficient importance sampling in low dimensions using affine arithmetic
• Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws

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