Dynamically Weighted Importance Sampling in Monte Carlo Computation
- 1 September 2002
- journal article
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 97 (459) , 807-821
- https://doi.org/10.1198/016214502388618618
Abstract
This article describes a new Monte Carlo algorithm, dynamically weighted importance sampling (DWIS), for simulation and optimization. In DWIS, the state of the Markov chain is augmented to a popula...Keywords
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