2013/12/06 by Arul, A. John, Iyer, Kannan
#Computation (stat.CO) #FOS: Computer and information sciences
paper · doi:10.48550/arxiv.1312.2556
We propose a method to efficiently integrate truncated probability densities. The method uses Markov chain Monte Carlo method to sample from a probability density matching the function being integrated. The required normalisation or equivalently the result is obtained by constructing a function with known integral, through non-parametric kernel density estimation and variational procedure. The method is demonstrated with numerical case studies. Possible enhancements to the method and limitations are discussed.