Variance analysis of multiple importance sampling schemes

DOI10.1080/02331888.2023.2294484arXiv2207.04187OpenAlexW4390274231MaRDI QIDQ6192201

Rahul Mukerjee, Víctor Elvira

Publication date: 12 February 2024

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.04187

zbMATH Keywords

Monte Carlo methodsselection strategyvariance inequalitiesproposal density

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Statistical sampling theory and related topics (62D99)

Cites Work

• Unnamed Item
• The sample size required in importance sampling
• Langevin incremental mixture importance sampling
• Importance sampling: intrinsic dimension and computational cost
• Convergence rates for optimised adaptive importance samplers
• Generalized multiple importance sampling
• Layered adaptive importance sampling
• Safe and Effective Importance Sampling
• An Adaptive Population Importance Sampler: Learning From Uncertainty
• Probability Inequalities for Sums of Bounded Random Variables

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