A Robust Solution to Variational Importance Sampling of Minimum Variance

Importance sampling is a Monte Carlo method where samples are obtained from an alternative proposal distribution. This can be used to focus the sampling process in the relevant parts of space, thus reducing the variance. Selecting the proposal that leads to the minimum variance can be formulated as...

Full description

Bibliographic Details
Main Authors: Jerónimo Hernández-González, Jesús Cerquides
Format: Article
Language:English
Published: MDPI AG 2020-12-01
Series:Entropy
Subjects:
Online Access:https://www.mdpi.com/1099-4300/22/12/1405