Importance Sampling: Intrinsic Dimension and Computational Cost
نویسندگان
چکیده
منابع مشابه
Importance Sampling: Intrinsic Dimension and Computational Cost
The basic idea of importance sampling is to use independent samples from a proposal measure in order to approximate expectations with respect to a target measure. It is key to understand how many samples are required in order to guarantee accurate approximations. Intuitively, some notion of distance between the target and the proposal should determine the computational cost of the method. A maj...
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Abstract: The basic idea of importance sampling is to use independent samples from one measure in order to approximate expectations with respect to another measure. Understanding how many samples are needed is key to understanding the computational complexity of the method, and hence to understanding when it will be effective and when it will not. It is intuitive that the size of the difference...
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ژورنال
عنوان ژورنال: Statistical Science
سال: 2017
ISSN: 0883-4237
DOI: 10.1214/17-sts611