Related papers: Annealed Importance Sampling
We make two closely related theoretical contributions to the use of importance sampling schemes. First, for independent sampling, we prove that the minimax optimal trial distribution coincides with the target if and only if the target…
Importance sampling is a Monte Carlo method which designs estimators of expectations under a target distribution using weighted samples from a proposal distribution. When the target distribution is complex, such as multimodal distributions…
We consider importance sampling (IS) type weighted estimators based on Markov chain Monte Carlo (MCMC) targeting an approximate marginal of the target distribution. In the context of Bayesian latent variable models, the MCMC typically…
We introduce and implement an importance-sampling Monte Carlo algorithm to study systems of globally-coupled oscillators. Our computational method efficiently obtains estimates of the tails of the distribution of various measures of…
Partially observable Markov decision processes (POMDPs) are a general mathematical model for sequential decision-making in stochastic environments under state uncertainty. POMDPs are often solved \textit{online}, which enables the algorithm…
Markov Chain Monte Carlo (MCMC) algorithms are essential tools in computational statistics for sampling from unnormalised probability distributions, but can be fragile when targeting high-dimensional, multimodal, or complex target…
In this paper it is shown that adaptive importance sampling algorithms converge at exponential rate for Markov chain expectation problems that admit a combination of a filtered estimator and a Markov zero-variance measure. It extends a…
Importance sampling is a Monte Carlo method that introduces a proposal distribution to sample the space according to the target distribution. Yet calibration of the proposal distribution is essential to achieving efficiency, thus the resort…
Markov chain (MC) algorithms are ubiquitous in machine learning and statistics and many other disciplines. Typically, these algorithms can be formulated as acceptance rejection methods. In this work we present a novel estimator applicable…
This paper proposes a new Sequential Monte Carlo algorithm to perform online estimation in the context of state space models when either the transition density of the latent state or the conditional likelihood of an observation given a…
Stein importance sampling is a widely applicable technique based on kernelized Stein discrepancy, which corrects the output of approximate sampling algorithms by reweighting the empirical distribution of the samples. A general analysis of…
Simulated annealing solves global optimization problems by means of a random walk in a cooling energy landscape based on the objective function and a temperature parameter. However, if the temperature is decreased too quickly, this…
Annealed Sequential Monte Carlo (ASMC) samplers are special cases of SMC samplers where the sequence of distributions can be embedded in a smooth path of distributions. Using this underlying path and a performance model based on the…
The problem of finding the expected value of a statistic of a locally stable point process in a bounded region is addressed. We propose an adaptive importance sampling for solving the problem. In our proposal, we restrict the importance…
We show that combining randomized measurement protocols with importance sampling allows for characterizing entanglement in significantly larger quantum systems and in a more efficient way than in previous work. A drastic reduction of…
The normalizing constant plays an important role in Bayesian computation, and there is a large literature on methods for computing or approximating normalizing constants that cannot be evaluated in closed form. When the normalizing constant…
Parallel tempering (PT) methods are a popular class of Markov chain Monte Carlo schemes used to sample complex high-dimensional probability distributions. They rely on a collection of $N$ interacting auxiliary chains targeting tempered…
Markov jump processes (or continuous-time Markov chains) are a simple and important class of continuous-time dynamical systems. In this paper, we tackle the problem of simulating from the posterior distribution over paths in these models,…
A classical approach for approximating expectations of functions w.r.t. partially known distributions is to compute the average of function values along a trajectory of a Metropolis-Hastings (MH) Markov chain. A key part in the MH algorithm…
Inference for partially observed Markov process models has been a longstanding methodological challenge with many scientific and engineering applications. Iterated filtering algorithms maximize the likelihood function for partially observed…