Convergence of adaptive mixtures of importance sampling schemes
自适应重要性采样混合方案的收敛
In the design of efficient simulation algorithms, one is often beset with a poor choice of proposal distributions. Although the performance of a given simulation kernel can clarify a posteriori how adequate this kernel is for the problem at hand, a permanent on-line modification of kernels causes concerns about the validity of the resulting algorithm. While the issue is most often intractable for MCMC algorithms, the equivalent version for importance sampling algorithms can…