Approximations of Bayes decision problems: the epigraphical approach
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Solving Bayesian decision problems usually requires approximation procedures, all leading to study the convergence of the approximating infima. This aspect is analysed in the context of epigraphical convergence of integral functionals, as minimal context for convergence of infima. The results, applied to the Monte Carlo importance sampling, give a necessary and sufficient condition for convergence of the approximations of Bayes decision problems and sufficient conditions for a large class of Bayesian statistical decision problems.
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- Approximations of Bayes decision problems: the epigraphical approach
Annals of Operations Research
Volume 56, Issue 1 , pp 1-13
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- Baltzer Science Publishers, Baarn/Kluwer Academic Publishers
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- Bayesian decisions
- integral functionals
- Monte Carlo importance sampling
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