The Square Root Rule for Adaptive Importance Sampling
نویسندگان
چکیده
منابع مشابه
AN ADAPTIVE IMPORTANCE SAMPLING-BASED ALGORITHM USING THE FIRST-ORDER METHOD FOR STRUCTURAL RELIABILITY
Monte Carlo simulation (MCS) is a useful tool for computation of probability of failure in reliability analysis. However, the large number of samples, often required for acceptable accuracy, makes it time-consuming. Importance sampling is a method on the basis of MCS which has been proposed to reduce the computational time of MCS. In this paper, a new adaptive importance sampling-based algorith...
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Importance sampling involves approximation of functionals (such as expectations) of a target distribution by sampling from a design distribution. In many applications, it is natural or convenient to use a design distribution which is a mixture of given distributions. One typically has wide latitude in selecting the mixing probabilities of the design distribution. Furthermore, one can reduce var...
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ژورنال
عنوان ژورنال: ACM Transactions on Modeling and Computer Simulation
سال: 2020
ISSN: 1049-3301,1558-1195
DOI: 10.1145/3350426