@Article{Cappe2007,
author = {Cappé, Olivier and Douc, Randal and Guillin, Arnaud and Marin, Jean-Michel and Robert, Christian P}, 
title = {Adaptive Importance Sampling in General Mixture Classes}, 
journal = {arXiv}, 
volume = {stat.CO}, 
number = {}, 
pages = {}, 
year = {2007}, 
abstract = {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 importance sampling performances, as measured by an entropy criterion. The method is shown to be applicable to a wide class of importance sampling densities, which includes in particular mixtures of multivariate Student t distributions. The performances of the proposed scheme are 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.}, 
location = {LTCI}, 
keywords = {stat.CO}}

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