Cappé, Olivier; Guillin, Arnaud; Marin, Jean-Michel; … - Université Paris-Dauphine - 2004
Importance sampling methods can be iterated like MCMC algorithms, while being more robust against dependence and … function, thus leading to an adaptive importance sampling. We illustrate this method on a mixture example with multiscale … importance functions. A second example reanalyzes the ion channel model using an importance sampling scheme based on a hidden …