Adaptive Multiple Importance Sampling

نویسندگان

  • Jean-Marie Cornuet
  • Jean-Michel Marin
  • Antonietta Mira
  • Christian P. Robert
چکیده

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 the deterministic multiple mixture estimator of Owen and Zhou (2000). Although the convergence properties of the algorithm cannot be fully investigated, we demonstrate through a challenging banana shape target distribution and a population genetics example that the improvement brought by this technique is substantial.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Uniform Convergence of Sample Average Approximation with Adaptive Multiple Importance Sampling

We study sample average approximations under adaptive importance sampling in which the sample densities may depend on previous random samples. Based on a generic uniform law of large numbers, we establish uniform convergence of the sample average approximation to the function being approximated. In the optimization context, we obtain convergence of the optimal value and optimal solutions of the...

متن کامل

Adaptive Importance Sampling Using Probabilistic Classification Vector Machines

This abstract presents the basic idea of a new adaptive methodology for reliability assessment using probabilistic classification vector machines (PCVMs) [1], a variant of support vector machines (SVMs) [2, 3]. The proposed method is pivoted around two principal concepts definition of an explicit failure boundary and its variability using PCVMs, and importance sampling (IS) [4–6]. The proposed ...

متن کامل

Asymptotic properties of the sample mean in adaptive sequential sampling with multiple selection criteria

‎We extend the method of adaptive two-stage sequential sampling to‎‎include designs where there is more than one criteria is used in‎‎deciding on the allocation of additional sampling effort‎. ‎These‎‎criteria‎, ‎or conditions‎, ‎can be a measure of the target‎‎population‎, ‎or a measure of some related population‎. ‎We develop‎‎Murthy estimator for the design that is unbiased estimators for‎‎t...

متن کامل

Methods for Approximating Integrals in Statistics with Special Emphasis on Bayesian Integration Problems

This paper is a survey of the major techniques and approaches available for the numerical approximation of integrals in statistics. We classify these into ve broad categories; namely, asymptotic methods, importance sampling, adaptive importance sampling, multiple quadrature and Markov chain methods. Each method is discussed giving an outline of the basic supporting theory and particular feature...

متن کامل

An Adaptive Population Importance Sampler: Learning from Errors

Monte Carlo (MC) methods are well-known computational techniques in different fields as signal processing, communications, and machine learning. An important class of MC methods is composed of importance sampling (IS) and its adaptive extensions, e.g., Adaptive Multiple IS (AMIS) and Population Monte Carlo (PMC). In this work, we introduce an adaptive and iterated importance sampler using a pop...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2009