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math.ST2019
Control variate selection for Monte Carlo integration
Rémi Leluc, François Portier, Johan Segers
Monte Carlo integration with variance reduction by means of control variates can be implemented by the ordinary least squares estimator for the intercept in a multiple linear regre…
math.ST2018
Parametric versus nonparametric: the fitness coefficient
Gildas Mazo, François Portier
The fitness coefficient, introduced in this paper, results from a competition between parametric and nonparametric density estimators within the likelihood of the data. As illustra…
math.ST2018
Asymptotic optimality of adaptive importance sampling
Bernard Delyon, François Portier
Adaptive importance sampling (AIS) uses past samples to update the \textit{sampling policy} at each stage . Each stage is formed with two steps : (i) to explore the sp…