Markov chain importance sampling with applications to rare event probability estimation
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Publication:746273
DOI10.1007/S11222-011-9308-2zbMATH Open1322.62010OpenAlexW2001848173MaRDI QIDQ746273FDOQ746273
Authors: Z. I. Botev, Pierre L'Ecuyer, Bruno Tuffin 
Publication date: 16 October 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-011-9308-2
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Cited In (27)
- On the use of marginal posteriors in marginal likelihood estimation via importance sampling
- Layered adaptive importance sampling
- Scalable Bayesian Regression in High Dimensions With Multiple Data Sources
- Hastings-Metropolis algorithm on Markov chains for small-probability estimation
- Generalized Poststratification and Importance Sampling for Subsampled Markov Chain Monte Carlo Estimation
- Efficient Markov chain Monte Carlo for combined subset simulation and nonlinear finite element analysis
- Rare-event detection by Quasi-Wang-Landau Monte Carlo sampling with approximate Bayesian computation
- On a Metropolis-Hastings importance sampling estimator
- Quasi-Monte Carlo techniques and rare event sampling
- Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
- Importance resampling for markov chains
- Regenerative Markov chain importance sampling
- Automated state-dependent importance sampling for Markov jump processes via sampling from the zero-variance distribution
- Efficient Monte Carlo simulation via the generalized splitting method
- Multicanonical MCMC for sampling rare events: an illustrative review
- Dynamic importance sampling for uniformly recurrent Markov chains
- The importance Markov chain
- Rare-event simulation for neural network and random forest predictors
- Zero-Variance Importance Sampling Estimators for Markov Process Expectations
- An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
- Computing marginal likelihoods via the Fourier integral theorem and pointwise estimation of posterior densities
- Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysis
- An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
- Multilevel sequential importance sampling for rare event estimation
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
- MCMC design-based non-parametric regression for rare event. application to nested risk computations
- Markov Chain Importance Sampling—A Highly Efficient Estimator for MCMC
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