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jonathf / chaospy

Chaospy - Toolbox for performing uncertainty quantification.
https://chaospy.readthedocs.io/
MIT License
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Recommendations for Implementing Importance Sampling #416

Open zhangshengwangBJUT opened 5 months ago

zhangshengwangBJUT commented 5 months ago

Hi Jonathan, I am a user of chaospy, I found that in your paper "Chaospy: An open source tool for designing methods of uncertainty quantification" published in Journal of Computational Science 2015, you mentioned some different sampling schemes available. In chaospy, I can find most of the schemes except the Importance sampling method, which is a significant way to reduce variance. Could you give me some help to find it? If chaospy has not yet been implemented, I would like to suggest upgrading the functon. Thanks very much! Best regards, Green

jonathf commented 4 months ago

There was a rudementary feature for importance sampling back in 2015. Unfortunatly the feature did not work very well and had to be deprecated. If we are to add it back, then we'll have to start from scratch as Chaospy's infrastructure is quite different today as it were back then.