Raywat Tanadkithirun, Importance Sampling.
Department of Mathematics and Computer Science, Faculty of Science, Chulalongkorn University, Bangkok, Thailand
Email:[email protected]
Importance sampling is a useful Monte Carlo based technique to estimate an expectation of a target function with respect to a target distribution of interest using random samples drawn from another distribution, called a proposal distribution. Two kinds of importance sampling along with their optimal proposal distributions are introduced in this talk. Some current approaches to deal with the impossibility of applying the optimal ones are discussed.
Some carefully chosen examples that point out the weakness of these approaches are also provided.
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