Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws

DOI10.1016/j.cam.2017.01.029zbMath1360.65044OpenAlexW2581511186MaRDI QIDQ515795

Reiichiro Kawai

Publication date: 16 March 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.01.029

zbMATH Keywords

numerical resultsimportance samplingstochastic approximationcentral limit theoremadaptive algorithmsvariance reductionexponential familybypass distributionmultivariate probability laws

Mathematics Subject Classification ID

Related Items (6)

Optimizing Adaptive Importance Sampling by Stochastic Approximation ⋮ Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata ⋮ Acceleration on Adaptive Importance Sampling with Sample Average Approximation ⋮ Batching Adaptive Variance Reduction ⋮ Sampling and change of measure for Monte Carlo integration on simplices ⋮ Adaptive importance sampling and control variates

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