Convergence of adaptive mixtures of importance sampling schemes
نویسندگان
چکیده
منابع مشابه
Convergence of adaptive mixtures of importance sampling schemes
In the design of efficient simulation algorithms, one is often beset with a poor choice of proposal distributions. Although the performances of a given simulation kernel can clarify a posteriori how adequate this kernel is for the problem at hand, a permanent on-line modification of kernels causes concerns about the validity of the resulting algorithm. While the issue is most often intractable ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2007
ISSN: 0090-5364
DOI: 10.1214/009053606000001154