Adaptive Importance Sampling in General Mixture Classes

Details Adaptive Importance Sampling in General Mixture Classes Adaptive Importance Sampling in General Mixture Classes

2007-10-23

arxiv.org/abs/0710.4242v4

Statistics and Computing 18, 4 (2008) 447-459

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Removed misleading comment in Section 2

Scientific paper

10.1007/s11222-008-9059-x

In this paper, we propose an adaptive algorithm that iteratively updates both the weights and component parameters of a mixture importance sampling density so as to optimise the importance sampling performances, as measured by an entropy criterion. The method is shown to be applicable to a wide class of importance sampling densities, which includes in particular mixtures of multivariate Student t distributions. The performances of the proposed scheme are studied on both artificial and real examples, highlighting in particular the benefit of a novel Rao-Blackwellisation device which can be easily incorporated in the updating scheme.

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