A Theory for Dynamic Weighting in Monte Carlo Computation

  title={A Theory for Dynamic Weighting in Monte Carlo Computation},
  author={Sukky Jun and Faming and Wing Sze Hung},
This article provides a Ž rst theoretical analysis of a new Monte Carlo approach, the dynamic weighting algorithm, proposed recently by Wong and Liang. In dynamic weighting Monte Carlo, one augments the original state space of interest by a weighting factor, which allows the resulting Markov chain to move more freely and to escape from local modes. It uses a new invariance principle to guide the construction of transition rules. We analyze the behavior of the weights resulting from such a… CONTINUE READING
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