Related papers: Annealed Importance Sampling
Markov chain sampling methods that automatically adapt to characteristics of the distribution being sampled can be constructed by exploiting the principle that one can sample from a distribution by sampling uniformly from the region under…
Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct…
We investigate in this paper an alternative method to simulation based recursive importance sampling procedure to estimate the optimal change of measure for Monte Carlo simulations. We propose an algorithm which combines (vector and…
Nested sampling is a simulation method for approximating marginal likelihoods proposed by Skilling (2006). We establish that nested sampling has an approximation error that vanishes at the standard Monte Carlo rate and that this error is…
We propose an adaptive importance sampling scheme for Gaussian approximations of intractable posteriors. Optimization-based approximations like variational inference can be too inaccurate while existing Monte Carlo methods can be too slow.…
Sequential importance sampling algorithms have been defined to estimate likelihoods in models of ancestral population processes. However, these algorithms are based on features of the models with constant population size, and become…
Markov chain Monte Carlo sampling methods often suffer from long correlation times. Consequently, these methods must be run for many steps to generate an independent sample. In this paper a method is proposed to overcome this difficulty.…
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…
Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applications. Despite its effectiveness, the performance of IS is…
A new approach of obtaining stratified random samples from statistically dependent random variables is described. The proposed method can be used to obtain samples from the input space of a computer forward model in estimating expectations…
We investigate the efficiency of a marginal likelihood estimator where the product of the marginal posterior distributions is used as an importance-sampling function. The approach is generally applicable to multi-block parameter vector…
Multiple importance sampling estimators are widely used for computing intractable constants due to its reliability and robustness. The celebrated balance heuristic estimator belongs to this class of methods and has proved very successful in…
Importance weighting is a general way to adjust Monte Carlo integration to account for draws from the wrong distribution, but the resulting estimate can be highly variable when the importance ratios have a heavy right tail. This routinely…
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…
Annealed importance sampling (AIS) and related algorithms are highly effective tools for marginal likelihood estimation, but are not fully differentiable due to the use of Metropolis-Hastings correction steps. Differentiability is a…
We propose Annealed Langevin Monte Carlo for Flow ODE Sampling (ALMC-ODE), a method for generating samples from unnormalized target distributions, with a particular emphasis on multimodal densities that are challenging for standard Markov…
In Bayesian statistics, many problems can be expressed as the evaluation of the expectation of a quantity of interest with respect to the posterior distribution. Standard Monte Carlo method is often not applicable because the encountered…
We develop a new method to sample from posterior distributions in hierarchical models without using Markov chain Monte Carlo. This method, which is a variant of importance sampling ideas, is generally applicable to high-dimensional models…
The basic idea of importance sampling is to use independent samples from a proposal measure in order to approximate expectations with respect to a target measure. It is key to understand how many samples are required in order to guarantee…
Calculating averages with respect to multimodal probability distributions is often necessary in applications. Markov chain Monte Carlo (MCMC) methods to this end, which are based on time averages along a realization of a Markov process…