کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4608916 | 1631475 | 2007 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Simple Monte Carlo and the Metropolis algorithm
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We study the integration of functions with respect to an unknown density. Information is available as oracle calls to the integrand and to the non-normalized density function. We are interested in analyzing the integration error of optimal algorithms (or the complexity of the problem) with emphasis on the variability of the weight function. For a corresponding large class of problem instances we show that the complexity grows linearly in the variability, and the simple Monte Carlo method provides an almost optimal algorithm. Under additional geometric restrictions (mainly log-concavity) for the density functions, we establish that a suitable adaptive local Metropolis algorithm is almost optimal and outperforms any non-adaptive algorithm.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Complexity - Volume 23, Issues 4–6, August–December 2007, Pages 673-696
Journal: Journal of Complexity - Volume 23, Issues 4–6, August–December 2007, Pages 673-696