Importance Sampling and Necessary Sample Size: An Information Theory Approach
نویسندگان
چکیده
منابع مشابه
The sample size required in importance sampling
The goal of importance sampling is to estimate the expected value of a given function with respect to a probability measure ν using a random sample of size n drawn from a different probability measure μ. If the two measures μ and ν are nearly singular with respect to each other, which is often the case in practice, the sample size required for accurate estimation is large. In this article it is...
متن کاملEffective sample size for importance sampling based on discrepancy measures
The Effective Sample Size (ESS) is an important measure of efficiency of Monte Carlo methods such as Markov Chain Monte Carlo (MCMC) and Importance Sampling (IS) techniques. In the IS context, an approximation ÊSS of the theoretical ESS definition is widely applied, involving the inverse of the sum of the squares of the normalized importance weights. This formula, ÊSS, has become an essential p...
متن کاملan economic design of combined double sampling and variable sample size x ̅ control chart
abstract. in recent years several studies have shown that control charts with adaptive schemes or double sampling plans detect both small and moderate shifts in the process mean more quickly than the traditional shewhart chart. in the classical double sampling chart, the difference between two points were placed in the central region of first stage was not considered. in this study, a new co...
متن کاملSampling and Sample Size Calculation Authors
This Resource Pack may be freely photocopied and distributed for the benefit of researchers. However it is the copyright of The NIHR RDS EM / YH and the authors and as such, no part of the content may be altered without the prior permission in writing, of the Copyright owner.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM/ASA Journal on Uncertainty Quantification
سال: 2018
ISSN: 2166-2525
DOI: 10.1137/16m1093549