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Statistics and Computing | 2008

Adaptive importance sampling in general mixture classes

Olivier Cappé; Randal Douc; Arnaud Guillin; Jean-Michel Marin; Christian P. Robert

In this paper, we propose an adaptive algorithm that iteratively updates both the weights and component parameters of a mixture importance sampling density so as to optimise the performance of importance sampling, as measured by an entropy criterion. The method, called M-PMC, is shown to be applicable to a wide class of importance sampling densities, which includes in particular mixtures of multivariate Student t distributions. The performance of the proposed scheme is studied on both artificial and real examples, highlighting in particular the benefit of a novel Rao-Blackwellisation device which can be easily incorporated in the updating scheme.


Annals of Probability | 2004

Transportation cost-information inequalities and applications to random dynamical systems and diffusions

Hacène Djellout; Arnaud Guillin

We first give a characterization of the L1-transportation cost-information inequality on a metric space and next find some appropriate sufficient condition to transportation cost-information inequalities for dependent sequences. Applications to random dynamical systems and diffusions are studied.


Probability Theory and Related Fields | 2015

On the rate of convergence in Wasserstein distance of the empirical measure

Nicolas Fournier; Arnaud Guillin

Let


Annals of Statistics | 2007

Convergence of Adaptive Sampling Schemes

Randal Douc; Arnaud Guillin; Jean-Michel Marin; Christian P. Robert


Archive for Rational Mechanics and Analysis | 2013

Uniform Convergence to Equilibrium for Granular Media

François Bolley; Ivan Gentil; Arnaud Guillin

\mu _N


Annales De L Institut Henri Poincare-probabilites Et Statistiques | 2013

Poincaré inequalities and hitting times

Patrick Cattiaux; Arnaud Guillin; Pierre Andr ´ E Zitt


Stochastic Processes and their Applications | 2001

Moderate deviations for Markov chains with atom

Hacène Djellout; Arnaud Guillin

μN be the empirical measure associated to a


Stochastic Processes and their Applications | 2001

Moderate deviations of inhomogeneous functionals of Markov processes and application to averaging

Arnaud Guillin


Sequential Analysis | 2011

Off-Line Detection of Multiple Change Points by the Filtered Derivative with p-Value Method

Pierre Raphael Bertrand; Mehdi Fhima; Arnaud Guillin

N


Revista Matematica Iberoamericana | 2007

Modified logarithmic Sobolev inequalities in null curvature

Ivan Gentil; Arnaud Guillin; Laurent Miclo

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