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math.OC2012★ 1 cited
Optimisation via Slice Sampling
John R. Birge, Nicholas G. Polson
In this paper, we develop a simulation-based approach to optimisation with multi-modal functions using slice sampling. Our method specifies the objective function as an energy pote…
stat.CO2012★ 4 cited
Split Sampling: Expectations, Normalisation and Rare Events
John R. Birge, Changgee Chang, Nicholas G. Polson
In this paper we develop a methodology that we call split sampling methods to estimate high dimensional expectations and rare event probabilities. Split sampling uses an auxiliary…