adaptive importance sampling – Optimization Online

Sample Average Approximation with Adaptive Importance Sampling

Published: 2017/04/07, Updated: 2017/11/13

Stochastic Programming adaptive importance sampling, likelihood ratio, parametric integration, sample average approximation, uniform convergence

We study sample average approximations under adaptive importance sampling in which the sample densities may depend on previous random samples. Based on a generic uniform law of large numbers, we establish uniform convergence of the sample average approximation to the true function. We obtain convergence of the optimal value and optimal solutions of the sample … Read more

Uniform Convergence of Sample Average Approximation with Adaptive Importance Sampling

Published: 2015/07/23, Updated: 2017/04/10

Stochastic Programming adaptive importance sampling, adaptive multiple importance sampling, parametric integration, sample average approximation, uniform convergence

We study sample average approximations under adaptive importance sampling. Based on a Banach-space-valued martingale strong law of large numbers, we establish uniform convergence of the sample average approximation to the function being approximated. In the optimization context, we obtain convergence of the optimal value and optimal solutions of the sample average approximation. Citation Technical Report … Read more