2005-06.wh-ley
Quasi Importance Sampling
Abstract
There arise two problems when the expectation of some function with
respect to a nonuniform multivariate distribution has to be computed
by (quasi-) Monte Carlo integration: the integrand can have
singularities when the domain of the distribution is unbounded and
it can be very expensive or even impossible to sample points from a
general multivariate distribution.
We show that importance sampling is a simple method to overcome
both problems.
Mathematics Subject Classification:
65C05 (Monte Carlo Methods),
65C10,
65D32 (Quadrature formulas - numerical methods)
General Terms:
Algorithms
Key Words:
quasi-Monte Carlo method,
nonuniform random variate generation,
inversion method,
importance sampling,
Markov chain Monte Carlo
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Josef.Leydold@statistik.wu-wien.ac.at