Exponential convergence of adaptive importance sampling for Markov chains

Journal of Applied Probability

Volumn 37, Issue 2, 2000, Pages 342-358

  Baggerly, Keith ^a   Cox, Dennis ^b   Picard, Rick ^c  

^a Rice University   (United States)

^b NATIONAL CENTER FOR ATMOSPHERIC RESEARCH   (United States)

^c LOS ALAMOS NATIONAL LABORATORY   (United States)

Author keywords

Adaptive procedures; Biased random walks; Learning algorithms; Monte Carlo simulation; Particle transport; Zero variance solution

Indexed keywords

EID: 85037773050     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200015564     Document Type: Article

References (13)

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