Related papers: Adaptive Importance Sampling in General Mixture Cl…

Mixture models have received considerable attention recently and Newton [Sankhy\={a} Ser. A 64 (2002) 306--322] proposed a fast recursive algorithm for estimating a mixing distribution. We prove almost sure consistency of this recursive…

Importance Sampling methods are broadly used to approximate posterior distributions or some of their moments. In its standard approach, samples are drawn from a single proposal distribution and weighted properly. However, since the…

In solving simulation-based stochastic root-finding or optimization problems that involve rare events, such as in extreme quantile estimation, running crude Monte Carlo can be prohibitively inefficient. To address this issue, importance…

The adaptive multi-channel method is applied to derive probability distributions from data samples. Moreover, an explicit algorithm is introduced, for which both the channel weights and the channels themselves are adaptive, and which can be…

Increased access to computing resources has led to the development of algorithms that can run efficiently on multi-core processing units or in distributed computing environments. In the context of Bayesian inference, many parallel computing…

Importance sampling (IS) is a powerful Monte Carlo methodology for the approximation of intractable integrals, very often involving a target probability density function. The performance of IS heavily depends on the appropriate selection of…

This paper introduces Adaptive Mixture Importance Sampling (AMIS) as a novel approach for optimizing key performance indicators (KPIs) in large-scale recommender systems, such as online ad auctions. Traditional importance sampling (IS)…

Some classical uncertainty quantification problems require the estimation of multiple expectations. Estimating all of them accurately is crucial and can have a major impact on the analysis to perform, and standard existing Monte Carlo…

We consider a generalization of the discrete-time Self Healing Umbrella Sampling method, which is an adaptive importance technique useful to sample multimodal target distributions. The importance function is based on the weights (namely the…

We consider Monte Carlo approximations to the maximum likelihood estimator in models with intractable norming constants. This paper deals with adaptive Monte Carlo algorithms, which adjust control parameters in the course of simulation. We…

We introduce an adaptive sampling method for the Deep Ritz method aimed at solving partial differential equations (PDEs). Two deep neural networks are used. One network is employed to approximate the solution of PDEs, while the other one is…

Adaptive importance sampling (AIS) algorithms are a rising methodology in signal processing, statistics, and machine learning. An effective adaptation of the proposals is key for the success of AIS. Recent works have shown that gradient…

In importance sampling (IS)-based reinforcement learning algorithms such as Proximal Policy Optimization (PPO), IS weights are typically clipped to avoid large variance in learning. However, policy update from clipped statistics induces…

Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tune the optimal change of measure in the context of…

This paper presents a tool for addressing a key component in many algorithms for planning robot trajectories under uncertainty: evaluation of the safety of a robot whose actions are governed by a closed-loop feedback policy near a nominal…

Among Monte Carlo techniques, the importance sampling requires fine tuning of a proposal distribution, which is now fluently resolved through iterative schemes. The Adaptive Multiple Importance Sampling (AMIS) of Cornuet et al. (2012)…

We introduce a theoretical and practical framework for efficient importance sampling of mini-batch samples for gradient estimation from single and multiple probability distributions. To handle noisy gradients, our framework dynamically…

Based on the algorithm Informed Importance Tempering (IIT) proposed by Li et al. (2023) we propose an algorithm that uses an adaptive bounded balancing function. We argue why implementing parallel tempering where each replica uses a…

Imitation learning has gained immense popularity because of its high sample-efficiency. However, in real-world scenarios, where the trajectory distribution of most of the tasks dynamically shifts, model fitting on continuously aggregated…

This paper studies the adversarial-robustness of importance-sampling (aka sensitivity sampling); a useful algorithmic technique that samples elements with probabilities proportional to some measure of their importance. A streaming or online…