Importance sampling: a review
We provide a short overview of importance sampling—a popular sampling tool used for Monte Carlo computing. We discuss its mathematical foundation and properties that determine its accuracy in Monte Carlo approximations. We review the fundamental developments in designing efficient importance samplin...
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| Veröffentlicht in: | Wiley interdisciplinary reviews. Computational statistics 2010-01, Vol.2 (1), p.54-60 |
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| creator | Tokdar, Surya T. Kass, Robert E. |
| description | We provide a short overview of importance sampling—a popular sampling tool used for Monte Carlo computing. We discuss its mathematical foundation and properties that determine its accuracy in Monte Carlo approximations. We review the fundamental developments in designing efficient importance sampling (IS) for practical use. This includes parametric approximation with optimization‐based adaptation, sequential sampling with dynamic adaptation through resampling and population‐based approaches that make use of Markov chain sampling. Copyright © 2009 John Wiley & Sons, Inc.
This article is categorized under:
Statistical and Graphical Methods of Data Analysis > Sampling |
| doi_str_mv | 10.1002/wics.56 |
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This article is categorized under:
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| ispartof | Wiley interdisciplinary reviews. Computational statistics, 2010-01, Vol.2 (1), p.54-60 |
| issn | 1939-5108 1939-0068 |
| language | eng |
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| source | Wiley Online Library All Journals |
| subjects | Adaptation Approximation Data analysis Data processing Graphical methods Importance sampling Markov analysis Markov chain sampling Markov chains Monte Carlo approximation Monte Carlo simulation Optimization Population (statistical) Resampling Sampling Sampling methods Sampling techniques Sequential sampling Software Statistical methods |
| title | Importance sampling: a review |
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