TL;DR本文介绍了 Monte Carlo 技术中的 Importance Sampling 算法及其应用,重点探讨了多重 IS 和自适应 IS 这两种先进的 IS 变体。
Abstract
importance sampling (IS) is a monte carlo technique for the approximation of
intractable distributions and integrals with respect to them. The origin of IS
dates from the early 1950s. In the last decades, the ris