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Illinois PHYS 466, Lecture 11: Importance Sampling

By David M. Ceperley

University of Illinois at Urbana-Champaign

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Abstract

Importance sampling

Today We will talk about the third option: Importance sampling and correlated sampling

Content:

  • Importance Sampling
  • Finding Optimal p*(x) for Sampling
  • Example of importance sampling
  • What are allowed values of a?
  • What does infinite variance look like?
  • General Approach to Importance Sampling
  • Correlated Sampling
  • Sampling Boltzmann distribution
  • Independent Sampling for exp(-V/kT)?
  • Intuitive explanation

Credits

This presentation was breezed and uploaded by Omar Sobh

Cite this work

Researchers should cite this work as follows:

  • David M. Ceperley (2009), "Illinois PHYS 466, Lecture 11: Importance Sampling," http://nanohub.org/resources/6488.

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