Notes on optimal approximations for importance sampling


In this manuscript, we derive optimal conditions for building function approximations that minimize variance when used as importance sampling estimators for Monte Carlo integration problems. Particularly, we study the problem of finding the optimal projection g of an integrand f onto certain classes of piecewise constant functions, in order to minimize the… (More)


Figures and Tables

Sorry, we couldn't extract any figures or tables for this paper.

Slides referencing similar topics