Convergence of adaptive mixtures of importance sampling schemes

DOI10.1214/009053606000001154zbMath1132.60022arXiv0708.0711OpenAlexW2996433517WikidataQ60461503 ScholiaQ60461503MaRDI QIDQ997389

Arnaud Guillin, Randal Douc, Christian P. Robert Robert, Jean-Michel Marin

Publication date: 23 July 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.0711

zbMATH Keywords

stochastic approximationKullback divergenceMonte Carlo calibrationpopulation Monte Carlo algorithm

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Numerical analysis or methods applied to Markov chains (65C40)

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