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Non-iterative implementation of Layered Adaptive Importance Sampling (LAIS)

version 1.0 (556 KB) by lukafree
Non-iterative implementation of Layered Adaptive Importance Sampling (LAIS)

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Updated 26 Oct 2016

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NON-ITERATIVE IMPLEMENTATION OF LAYERED ADAPTIVE IMPORTANCE SAMPLING (LAIS)
(see reference below)
- L. Martino, V. Elvira, D. Luengo, J. Corander, "Layered Adaptive Importance Sampling", Statistics and Computing, 2016. doi:10.1007/s11222-016-9642-5

For an iterative implementation of a specific LAIS scheme,

the Parallel Interacting Markov Adaptive Importance Sampling (PI-MAIS) Algorithm

see the link
http://www.mathworks.com/matlabcentral/fileexchange/58368-parallel-interacting-markov-adaptive-importance-sampling--pi-mais--algorithm

Cite As

lukafree (2022). Non-iterative implementation of Layered Adaptive Importance Sampling (LAIS) (https://www.mathworks.com/matlabcentral/fileexchange/59952-non-iterative-implementation-of-layered-adaptive-importance-sampling-lais), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015a
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