Adaptive importance sampling in general mixture classes
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- Cappé, O., Douc, R., Guillin, A. et al. Stat Comput (2008) 18: 447. doi:10.1007/s11222-008-9059-x
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In this paper, we propose an adaptive algorithm that iteratively updates both the weights and component parameters of a mixture importance sampling density so as to optimise the performance of importance sampling, as measured by an entropy criterion. The method, called M-PMC, is shown to be applicable to a wide class of importance sampling densities, which includes in particular mixtures of multivariate Student t distributions. The performance of the proposed scheme is studied on both artificial and real examples, highlighting in particular the benefit of a novel Rao-Blackwellisation device which can be easily incorporated in the updating scheme.