Optimal L[subscript 2]-norm empirical importance weights for the change of probability measure
This work proposes an optimization formulation to determine a set of empirical importance weights to achieve a change of probability measure. The objective is to estimate statistics from a target distribution using random samples generated from a (different) proposal distribution. This work consider...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Springer US
2017
|
| Online Access: | http://hdl.handle.net/1721.1/107480 https://orcid.org/0000-0003-2156-9338 https://orcid.org/0000-0001-8410-6141 |