Amis en Scandinavie

Admittedly, a poor pun (ami meaning friend in French)… Our AMIS paper (Adaptive multiple importance sampling, written with Jean-Marie Cornuet, Jean-Michel Marin and Antonietta Mira) has just been accepted for publication Scandinavian Journal of Statistics, which is a very good news. As mentioned in the earlier post, two weeks ago, I am very glad the paper is finally accepted as (a) the method is already in use in several other papers and (b) the theoretical question of convergence of the AMIS average may then be studied and hopefully solved by others! At this stage, I want to thank the friends and colleagues with whom we had helpful discussions on the (non-)convergence properties of the AMIS algorithm, in particular the members of the Adap’MC project, Olivier Cappé, Pierre Del Moral, Randal Douc, Nadia Oujdane, Judith Rousseau, and above all Vivek Roy who spent the best of two months in Paris trying all sorts of tricks with us…but could not unlock the convergence issue in the general case (despite achieving some measure of success in the compact case).

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