Exponential convergence of adaptive importance sampling for Markov chains-Reference-Cited by-同舟云学术

Exponential convergence of adaptive importance sampling for Markov chains

Published:2000-06 Issue:2 Volume:37 Page:342-358
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Baggerly Keith,Cox Dennis,Picard Rick

Abstract

We consider adaptive importance sampling for a Markov chain with scoring. It is shown that convergence to the zero-variance importance sampling chain for the mean total score occurs exponentially fast under general conditions. These results extend previous work in Kollman (1993) and in Kollman et al. (1999) for finite state spaces.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference13 articles.

1. Exponential Convergence on a Continuous Monte Carlo Transport Problem

2. Zero-Variance Solutions for Linear Monte Carlo

3. Rare event simulation in radiation transport

4. Adaptive importance sampling of random walks on continuous state spaces

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