Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions.
Shanyin TongGeorg StadlerPublished in: SIAM/ASA J. Uncertain. Quantification (2023)
Keyphrases
- large deviations
- importance sampling
- rare events
- monte carlo
- markov chain
- kalman filter
- particle filter
- particle filtering
- markov chain monte carlo
- approximate inference
- high dimensional data
- data sets
- posterior distribution
- high dimensional
- least squares
- parameter estimation
- semi supervised
- probability distribution