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Metropolis algorithm and equienergy sampling for two mean field spin systems
asymptotic variance Chain decomposition theorem fast/slowly mixingchain mean-field Ising model Metropolis
2010/4/28
In this paper we study the Metropolis algorithm in connection
with two mean–field spin systems, the so called mean–field Ising model and
the Blume–Emery–Griffiths model. In both this examples the na...
Least Squares Importance Sampling for Monte Carlo Security Pricing
Monte Carlo Simulations Variance Reduction Techniques Importance Sampling Derivatives Pricing
2010/4/27
We describe a simple Importance Sampling strategy for Monte Carlo simulations based on a least
squares optimization procedure. With several numerical examples, we show that such Least Squares Importa...
Efficient Monte Carlo sampling by parallel marginalization
Markov chain Monte Carlo renormalization multi-grid filtering parameterestimation
2010/4/26
Markov chain Monte Carlo sampling methods often suffer from long
correlation times. Consequently, these methods must be run for
many steps to generate an independent sample. In this paper a
method ...