An adaptive importance sampling technique

MaRDI QIDQ5482382zbMATH OpenFDO

Authors Teemu Pennanen, Matti Koivu

Publication date 28 August 2006

zbMATH Keywords

algorithmsnumerical examplesmultidimensional integralscomparison of methodsvariance minimizationadaptive importance sampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cited in

(5)

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

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