2 papers
stat.CO2018
A weight-bounded importance sampling method for variance reduction
Tengchao Yu, Linjun Lu, Jinglai Li
Importance sampling (IS) is an important technique to reduce the estimation variance in Monte Carlo simulations. In many practical problems, however, the use of IS method may resul…
stat.CO2018
A defensive marginal particle filtering method for data assimilation
Linjie Wen, Jiangqi Wu, Linjun Lu +1
Particle filtering (PF) is an often used method to estimate the states of dynamical systems. A major limitation of the standard PF method is that the dimensionality of the state sp…