Importance sampling is a Monte Carlo method used to evaluate properties of a distribution using samples from a different distribution. It was introduced in 1978, but has precursors in statistical physics from 1949. It is related to umbrella sampling in computational physics.
UC Berkeley
Fall 2013
This course investigates the mathematical principles behind data and information analysis. It brings together concepts from statistics, optimization, and computer science, with a focus on large deviation inequalities, and convex analysis. It's tailored towards advanced graduate students who wish to incorporate these theories into their research.
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