The authors consider adaptive importance sampling for a random walk with scoring in a general state space. Conditions under which exponential convergence occurs to the zero-variance solution are reviewed. These results generalize previous work for finite, discrete state spaces in Kollman (1993) and in Kollman, Baggerly, Cox, and Picard (1996). This paper is intended for nonstatisticians and includes considerable explanatory material.
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Los Alamos National Lab., NM (United States)
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New Mexico
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The authors consider adaptive importance sampling for a random walk with scoring in a general state space. Conditions under which exponential convergence occurs to the zero-variance solution are reviewed. These results generalize previous work for finite, discrete state spaces in Kollman (1993) and in Kollman, Baggerly, Cox, and Picard (1996). This paper is intended for nonstatisticians and includes considerable explanatory material.
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Baggerly, K.; Cox, D. & Picard, R.Adaptive importance sampling of random walks on continuous state spaces,
report,
November 1, 1998;
New Mexico.
(https://digital.library.unt.edu/ark:/67531/metadc706989/:
accessed June 9, 2024),
University of North Texas Libraries, UNT Digital Library, https://digital.library.unt.edu;
crediting UNT Libraries Government Documents Department.