Iba, Yukito; Saito, Nen; Kitajima, Akimasa - In: Annals of the Institute of Statistical Mathematics 66 (2014) 3, pp. 611-645
Multicanonical MCMC (Multicanonical Markov Chain Monte Carlo; Multicanonical Monte Carlo) is discussed as a method of rare event sampling. Starting from a review of the generic framework of importance sampling, multicanonical MCMC is introduced, followed by applications in random matrices,...