Integration of multimodal functions by Monte Carlo importance sampling

Man Suk Oh, James O. Berger

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56 Scopus citations

Abstract

Numerical integration of a multimodal integrand f(θ) is approached by Monte Carlo integration via importance sampling. A mixture of multivariate t density functions is suggested as an importance function g(θ), for its easy random variate generation, thick tails, and high flexibility. The number of components in the mixture is determined by the number of modes of f(θ), and the mixing weights and location and scale parameters of the component distributions are determined by numerical minimization of a Monte Carlo estimate of the squared variation coefficient of the weight function f(θ)/g(θ). Stratified importance sampling and control variates are shown to be particularly effective variance reduction techniques in this case. The algorithm is applied to a 10-dimensional example and shown to yield significant improvement over usual integration schemes.

Original languageEnglish
Pages (from-to)450-456
Number of pages7
JournalJournal of the American Statistical Association
Volume88
Issue number422
DOIs
StatePublished - Jun 1993

Keywords

  • Control variate
  • Mixture
  • Numerical integration
  • Stratified importance sampling
  • Weight function

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