Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

A note on imprecise Monte Carlo over credal sets via importance sampling.

Troffaes, Matthias C. M. (2017) 'A note on imprecise Monte Carlo over credal sets via importance sampling.', in Proceedings of the Tenth International Symposium on Imprecise Probability : Theories and Applications, 10-14 July 2017, Lugano (Switzerland). , pp. 325-332. Proceedings of Machine Learning Research. (62).

Abstract

This brief paper is an exploratory investigation of how we can apply sensitivity analysis over importance sampling weights in order to obtain sampling estimates of lower previsions described by a parametric family of distributions. We demonstrate our results on the imprecise Dirichlet model, where we can compare with the analytically exact solution. We discuss the computational limitations of the approach, and propose a simple iterative importance sampling method in order to overcome these limitations. We find that the proposed method works pretty well, at least in the example studied, and we discuss some further possible extensions.

Item Type:Book chapter
Full text:(AM) Accepted Manuscript
First Live Deposit - 15 May 2017
Download PDF
(170Kb)
Status:Peer-reviewed
Publisher Web site:http://proceedings.mlr.press/v62/troffaes17a.html
Record Created:15 May 2017 09:58
Last Modified:17 Jul 2017 16:16

Social bookmarking: del.icio.usConnoteaBibSonomyCiteULikeFacebookTwitterExport: EndNote, Zotero | BibTex
Look up in GoogleScholar | Find in a UK Library