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Abstract We provide a short overview of importance sampling—a popular sampling tool used for Monte Carlo computing. We discuss its mathematical foundation and properties that determine its accuracy in Monte Carlo approximations. We review the fundamental developments in designing efficient importance sampling (IS) for practical use. This includes parametric approximation with optimization‐based adaptation, sequential sampling with dynamic adaptation through resampling and population‐based approaches that make use of Markov chain sampling. Copyright © 2009 John Wiley & Sons, Inc. This article is categorized under: Statistical and Graphical Methods of Data Analysis > Sampling
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Surya T. Tokdar
Duke University
Robert E. Kass
Center for the Neural Basis of Cognition
Wiley Interdisciplinary Reviews Computational Statistics
Duke University
Carnegie Mellon University
Center for the Neural Basis of Cognition
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Tokdar et al. (Thu,) studied this question.
synapsesocial.com/papers/69de94921d9bba5129b0c522 — DOI: https://doi.org/10.1002/wics.56
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