27 citations · 56 across the 14 of their papers we have counts for
17 papers
Stochastic mirror descent for nonparametric adaptive importance sampling
Pascal Bianchi, Bernard Delyon, Victor Priser +1
This paper addresses the problem of approximating an unknown probability distribution with density -- which can only be evaluated up to an unknown scaling factor -- with the he…
Safe and adaptive importance sampling: a mixture approach
Bernard Delyon, François Portier
This paper investigates adaptive importance sampling algorithms for which the policy, the sequence of distributions used to generate the particles, is a mixture distribution betwee…
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…
On the Asymptotic Normality of Adaptive Multilevel Splitting
Frédéric Cérou, Bernard Delyon, Arnaud Guyader +1
Adaptive Multilevel Splitting (AMS for short) is a generic Monte Carlo method for Markov processes that simulates rare events and estimates associated probabilities. Despite its pr…
A Central Limit Theorem for Fleming-Viot Particle Systems with Hard Killing
Bernard Delyon, Frédéric Cérou, Arnaud Guyader +1
Fleming-Viot type particle systems represent a classical way to approximate the distribution of a Markov process with killing, given that it is still alive at a final deterministic…
Mixing properties and central limit theorem for associated point processes
Arnaud Poinas, Bernard Delyon, Frédéric Lavancier
Positively (resp. negatively) associated point processes are a class of point processes that induce attraction (resp. inhibition) between the points. As an important example, deter…