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arXiv · 1312.2556

A method for importance sampling through Markov chain Monte Carlo with post sampling variational estimate

A. John Arul·Kannan Iyer
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Abstract

We propose a method to efficiently integrate truncated probability densities. The method uses Markov chain Monte Carlo method to sample from a probability density matching the function being integrated. The required normalisation or equivalently the result is obtained by constructing a function with known integral, through non-parametric kernel density estimation and variational procedure. The method is demonstrated with numerical case studies. Possible enhancements to the method and limitations are discussed.

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A. John Arul, Kannan Iyer. 2013-12-06. A method for importance sampling through Markov chain Monte Carlo with post sampling variational estimate. https://arxiv.org/abs/1312.2556

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