Douc, Randal; Guillin, Arnaud; Marin, Jean-Michel; … - Centre de Recherche en Économie et Statistique … - 2005
Variance reduction has always been a central issue in Monte Carlo experiments.Population Monte Carlo can be used to this effect, in that a mixture of importancefunctions, called a D-kernel, can be iteratively optimised to achieve the minimumasymptotic variance for a function of interest among...