Related papers: Enhancing Sample Quality through Minimum Energy Im…
The efficient importance sampling (EIS) method is a general principle for the numerical evaluation of high-dimensional integrals that uses the sequential structure of target integrands to build variance minimising importance samplers.…
Importance sampling with data-driven proposal distributions is widely used in practice. A common workflow first generates an auxiliary sample of size $N$ from an approximation of the target distribution, constructs a density estimate $\hat…
Importance sampling is a popular method for efficient computation of various properties of a distribution such as probabilities, expectations, quantiles etc. The output of an importance sampling algorithm can be represented as a weighted…
Slice Sampling has emerged as a powerful Markov Chain Monte Carlo algorithm that adapts to the characteristics of the target distribution with minimal hand-tuning. However, Slice Sampling's performance is highly sensitive to the…
The objective of Bayesian inference is often to infer, from data, a probability measure for a random variable that can be used as input for Monte Carlo simulation. When datasets for Bayesian inference are small, a principle challenge is…
In the time of Big Data, training complex models on large-scale data sets is challenging, making it appealing to reduce data volume for saving computation resources by subsampling. Most previous works in subsampling are weighted methods…
To improve the efficiency of Monte Carlo estimation, practitioners are turning to biased Markov chain Monte Carlo procedures that trade off asymptotic exactness for computational speed. The reasoning is sound: a reduction in variance due to…
Efficient benchmarking techniques aim to lower the computational cost of evaluating LLMs by predicting full benchmark scores using only a subset of a benchmark's questions. By reframing this problem as an instance of multiple regression…
A common strategy for sparse linear regression is to introduce regularization, which eliminates irrelevant features by letting the corresponding weights be zeros. However, regularization often shrinks the estimator for relevant features,…
The loss function plays an important role in optimizing the performance of a learning system. A crucial aspect of the loss function is the assignment of sample weights within a mini-batch during loss computation. In the context of continual…
Bayesian inference under a set of priors, called robust Bayesian analysis, allows for estimation of parameters within a model and quantification of epistemic uncertainty in quantities of interest by bounded (or imprecise) probability.…
We present a novel technique for tailoring Bayesian quadrature (BQ) to model selection. The state-of-the-art for comparing the evidence of multiple models relies on Monte Carlo methods, which converge slowly and are unreliable for…
The theory of boosting provides a computational framework for aggregating approximate weak learning algorithms, which perform marginally better than a random predictor, into an accurate strong learner. In the realizable case, the success of…
The K-Mean and EM algorithms are popular in clustering and mixture modeling, due to their simplicity and ease of implementation. However, they have several significant limitations. Both coverage to a local optimum of their respective…
Sampling from a multimodal distribution is a fundamental and challenging problem in computational science and statistics. Among various approaches proposed for this task, one popular method is Annealed Importance Sampling (AIS). In this…
Bayesian optimisation is an adaptive sampling strategy for constructing a Gaussian process surrogate to efficiently search for the global minimum of a black-box computational model. Gaussian processes have limited applicability in…
Many Monte Carlo light transport simulations use multiple importance sampling (MIS) to weight between different path sampling strategies. We propose to use the path throughput to compute the MIS weights instead of the commonly used…
Bias in causal comparisons has a direct correspondence with distributional imbalance of covariates between treatment groups. Weighting strategies such as inverse propensity score weighting attempt to mitigate bias by either modeling the…
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)…
Minimum Bayes Risk (MBR) decoding is a text generation technique that has been shown to improve the quality of machine translations, but is expensive, even if a sampling-based approximation is used. Besides requiring a large number of…