Stochastic adaptation of importance sampler
Improving efficiency of the importance sampler is at the centre of research on Monte Carlo methods. While the adaptive approach is usually not so straightforward within the Markov chain Monte Carlo framework, the counterpart in importance sampling can be justified and validated easily. We propose an...
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| 格式: | Article |
| 語言: | English |
| 出版: |
2013
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| 在線閱讀: | https://hdl.handle.net/10356/95724 http://hdl.handle.net/10220/11998 |
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| 機構: | Nanyang Technological University |
| 語言: | English |