26 citations · 48 across the 2 of their papers we have counts for
2 papers
math.PR2008★ 26 cited
Robust adaptive importance sampling for normal random vectors
Benjamin Jourdain, Jérôme Lelong
Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tu…
math.PR2007★ 22 cited
Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions
Jérôme Lelong
We study the almost sure convergence of randomly truncated stochastic algorithms. We present a new convergence theorem which extends the already known results by making vanish the…