Workshop: Markov chains in algorithms and statistical physics
Importance Sampling, especially Sequential Importance Sampling, has emerged as an important competitor for Markov chain Monte Carlo. There has been very little rigorous work comparing these two algorithms. I will give a collection of examples drawn from practical work whre comparisons can be rigorously made. A host of open problems will be presented.Workshop: Markov chains in algorithms and statistical physics
Importance Sampling, especially Sequential Importance Sampling, has emerge...all »Workshop: Markov chains in algorithms and statistical physics
Importance Sampling, especially Sequential Importance Sampling, has emerged as an important competitor for Markov chain Monte Carlo. There has been very little rigorous work comparing these two algorithms. I will give a collection of examples drawn from practical work whre comparisons can be rigorously made. A host of open problems will be presented.«
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