Results 31 to 40 of about 67,883,804 (80)
Zero variance in Markov chain Monte Carlo with an application to credit risk estimation [PDF]
We propose a general purpose variance reduction technique for Markov Chain Monte Carlo estimators based on the Zero-Variance principle introduced in the physics lit- erature by Assaraf and Caarel ( 1999). The potential of the new idea is illustrated with
Tenconi Paolo
core
Density estimators through Zero Variance Markov Chain Monte Carlo [PDF]
A Markov Chain Monte Carlo method is proposed for the pointwise evaluation of a density whose normalizing constant is not known. This method was introduced in the physics literature by Assaraf et al (2007).
Daniele Imparato, Antonietta Mira
core
Quantitative non-geometric convergence bounds for independence samplers [PDF]
, 2009 Markov chain Monte Carlo (MCMC) algorithms are widely used in statistics, physics, and computer science, to sample from complicated high-dimensional probability distributions.
Rosenthal, Jeffrey S. (Jeffrey Seth) +1 more
core
Markov Chain Monte Carlo Technology [PDF]
In the past fifteen years computational statistics has been enriched by a powerful, somewhat abstract method of generating variates from a target probability distribution that is based on Markov chains whose stationary distribution is the probability ...
Chib, Siddhartha
core
Monte Carlo filtering of piecewise deterministic processes [PDF]
, 2011 We present efficient Monte Carlo algorithms for performing Bayesian inference in a broad class of models: those in which the distributions of interest may be represented by time marginals of continuous-time jump processes conditional on a realisation of
Godsill, S +5 more
core +1 more source
Hybrid Monte Carlo on Hilbert spaces [PDF]
, 2011 The Hybrid Monte Carlo (HMC) algorithm provides a framework for sampling from complex, high-dimensional target distributions. In contrast with standard Markov chain Monte Carlo (MCMC) algorithms, it generates nonlocal, nonsymmetric moves in the state ...
Beskos, A +11 more
core +1 more source
Cadeias de Markov e aplicações
, 2017 Este trabalho tem como principal objetivo resolver alguns problemas científicos via simulações, com ênfase aos problemas de decodificar um texto criptografado, escolher um vértice uniformemente ao acaso em um grafo com estrutura global desconhecida (como
Silva, Larissa Miguez da
core
Nonasymptotic bounds on the mean square error for MCMC estimates via renewal techniques [PDF]
, 2011 The Nummellin’s split chain construction allows to decompose a Markov chain Monte Carlo (MCMC) trajectory into i.i.d. "excursions". Regenerative MCMC algorithms based on this technique use a random number of samples.
Miasojedow, Błażej +4 more
core
Monte-Carlo expectation maximization for decentralized POMDPs
, 2013 We address two significant drawbacks of state-of-the-art solvers of decentralized POMDPs (DECPOMDPs): the reliance on complete knowledge of the model and limited scalability as the complexity of the domain grows.
Wu, Feng, Jennings, N.R., Zilberstein, S
core +1 more source
IMPOSING CURVATURE RESTRICTIONS ON A TRANSLOG COST FUNCTION USING A MARKOV CHAIN MONTE CARLO SIMULATION APPROACH [PDF]
Using Kansas Farm data from 1973 to 1998, curvature restrictions are imposed on a translog cost function. Using uninformative priors with indicator functions representing distribution and inequality constraints, a Markov Chain Monte Carlo Simulation ...
Featherstone, Allen M. +2 more
core