منابع مشابه
Adaptive Multiple Importance Sampling
The Adaptive Multiple Importance Sampling (AMIS) algorithm is aimed at an optimal recycling of past simulations in an iterated importance sampling scheme. The difference with earlier adaptive importance sampling implementations like Population Monte Carlo is that the importance weights of all simulated values, past as well as present, are recomputed at each iteration, following the technique of...
متن کاملA R Adaptive Multiple Importance Sampling (ARAMIS)
ARAMIS is an R package that runs the AMIS [1] algorithm. The main features of ARAMIS are parallelization and customization. ARAMIS exploits the massively parallel structure of AMIS to improve the performance of the algorithm as it was implemented in the original paper. As a result simulation time is reduced by orders of magnitudes. As for customization, the potential of the R language is fully ...
متن کاملLayered Adaptive Importance Sampling
Monte Carlo methods represent the de facto standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use simpler proposal probability densities for drawing candidate samples. Performance of any such method is strictly related to the specification of the proposal ...
متن کاملSafe Adaptive Importance Sampling
Importance sampling has become an indispensable strategy to speed up optimization algorithms for large-scale applications. Improved adaptive variants—using importance values defined by the complete gradient information which changes during optimization—enjoy favorable theoretical properties, but are typically computationally infeasible. In this paper we propose an efficient approximation of gra...
متن کاملAdaptive Mixture Importance Sampling
Importance sampling involves approximation of functionals (such as expectations) of a target distribution by sampling from a design distribution. In many applications, it is natural or convenient to use a design distribution which is a mixture of given distributions. One typically has wide latitude in selecting the mixing probabilities of the design distribution. Furthermore, one can reduce var...
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ژورنال
عنوان ژورنال: Scandinavian Journal of Statistics
سال: 2012
ISSN: 0303-6898
DOI: 10.1111/j.1467-9469.2011.00756.x