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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).


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
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Date accepted:17 April 2017
Date deposited:15 May 2017
Date of first online publication:20 June 2017
Date first made open access:No date available

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