Importance sampling with transformed weights
نویسندگان
چکیده
منابع مشابه
Optimal mixture weights in multiple importance sampling
In multiple importance sampling we combine samples from a finite list of proposal distributions. When those proposal distributions are used to create control variates, it is possible (Owen and Zhou, 2000) to bound the ratio of the resulting variance to that of the unknown best proposal distribution in our list. The minimax regret arises by taking a uniform mixture of proposals, but that is cons...
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ژورنال
عنوان ژورنال: Electronics Letters
سال: 2017
ISSN: 0013-5194,1350-911X
DOI: 10.1049/el.2016.3462