Stochastic adaptation of importance sampler

DOI10.1080/02331888.2011.555549zbMath1314.60140arXiv0712.1342OpenAlexW2161816410MaRDI QIDQ3143505

Heng Lian

Publication date: 30 November 2012

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.1342

zbMATH Keywords

importance samplingstochastic approximationadaptive algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Robustness and adaptive procedures (parametric inference) (62F35) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05)

Cites Work

• Unnamed Item
• Convergence of adaptive mixtures of importance sampling schemes
• Convergence of a stochastic approximation version of the EM algorithm
• On the Convergence of Stochastic Iterative Dynamic Programming Algorithms
• Adaptative Monte Carlo Method, A Variance Reduction Technique
• Stability of Stochastic Approximation under Verifiable Conditions
• An adaptive Metropolis algorithm

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