St. Petersburg Polytechnic University Journal: Physics and Mathematics Научно-технические ведомости СПбГПУ. Физико-математические науки 2304-9782, 2618-8686, 2405-7223 9 An adaptive importance sampling method with the bounded step number of the bisection process Адаптивный метод существенной выборки при ограниченном числе шагов бисекционного процесса Arseniev Dmitry Ivanov Vladimir Berkovskiy Nikolay berkovsk@mail.ru 10 06 2010 2 98 59 67

The adaptive importance sampling method is considered on the condition that the number of the bisection process steps is bounded. The potentialities of the method are illustrated by the approximate solution of the linear filtering problem. Detailed analysis of the results is made.

 adaptive integration Monte-Carlo method importance sampling filtering problem