“importance sampling”的概念、定义、翻译、参考文献-科学参考

importance sampling

Statistics

A method of reducing the variance of an estimate obtained via simulation. Suppose, for example, that we wish to estimate the quantity I, given by $importance sampling$ where g is a given function. An obvious method is to generate pseudo-random numbers u₁, u₂,…, u_n, in the interval (0, 1). Writing U₁, U₂,…, U_n for the corresponding random variables, the estimator, I₁, is given by $importance sampling$ Importance sampling makes a more representative choice of values: suppose that f is a probability density function that resembles g in its general shape, and let F be the corresponding distribution function. Instead of working with U₁, U₂,…, U_n, we work with V₁, V₂,…, V_n, where F(V_j)=U_j. The resulting estimator, I₂, given by $importance sampling$ will have a smaller variance than I₁.

单词	importance sampling
释义	importance sampling Statistics A method of reducing the variance of an estimate obtained via simulation. Suppose, for example, that we wish to estimate the quantity I, given by $importance sampling$ where g is a given function. An obvious method is to generate pseudo-random numbers u₁, u₂,…, u_n, in the interval (0, 1). Writing U₁, U₂,…, U_n for the corresponding random variables, the estimator, I₁, is given by $importance sampling$ Importance sampling makes a more representative choice of values: suppose that f is a probability density function that resembles g in its general shape, and let F be the corresponding distribution function. Instead of working with U₁, U₂,…, U_n, we work with V₁, V₂,…, V_n, where F(V_j)=U_j. The resulting estimator, I₂, given by $importance sampling$ will have a smaller variance than I₁.
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