Curse-of-dimensionality revisited: Collapse of importance sampling in very large scale systems

Abstract

It has been widely realized that Monte Carlo methods (approximation via a sample ensemble) may fail in large scale systems. This work offers some theoretical insight into this phenomenon. In the context of a particle filter (as well as in general importance samplers), we demonstrate that the maximum of the weights associated with the sample ensemble members… (More)

Topics

2 Figures and Tables

Statistics

01020201520162017
Citations per Year

Citation Velocity: 7

Averaging 7 citations per year over the last 3 years.

Learn more about how we calculate this metric in our FAQ.

Slides referencing similar topics