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Rare Events of Gaussian Processes: A Performance Comparison Between Bridge Monte-Carlo and Importance Sampling.

Stefano GiordanoMassimiliano GubinelliMichele Pagano
Published in: NEW2AN (2007)
Keyphrases
  • importance sampling
  • rare events
  • monte carlo
  • gaussian process
  • markov chain
  • particle filter
  • approximate inference
  • kalman filter
  • multi class
  • random variables
  • hyperparameters