General-purpose post-sampling reweighting method for multimodal target measures
Statistics Theory
2026-02-17 v2 Probability
Statistics Theory
Abstract
When sampling multi-modal probability distributions, correctly estimating the relative probability of each mode, even when the modes have been discovered and locally sampled, remains challenging. We test a simple reweighting scheme designed for this situation, which consists in minimizing (in terms of weights) the Kullback-Leibler divergence of a weighted (regularized) empirical distribution of the samples with respect to the target measure.
Keywords
Cite
@article{arxiv.2602.12027,
title = {General-purpose post-sampling reweighting method for multimodal target measures},
author = {Pierre Monmarché},
journal= {arXiv preprint arXiv:2602.12027},
year = {2026}
}