multiple importance sampling

“Within this unified context, it is possible to interpret that all the MIS algorithms draw samples from a equal-weighted mixture distribution obtained from the set of available proposal pdfs.” In a very special (important?!) week for importance sampling!, Elvira et al. arXived a paper about generalized multiple importance sampling. The setting is the same as […]

optimal mixture weights in multiple importance sampling

Multiple importance sampling is back!!! I am always interested in this improvement upon regular importance sampling, even or especially after publishing a recent paper about our AMIS (for adaptive multiple importance sampling) algorithm, so I was quite eager to see what was in Hera He’s and Art Owen’s newly arXived paper. The paper is definitely […]

Adaptive multiple importance sampling resubmited

Our AMIS paper (with Jean-Marie Cornuet, Jean-Michel Marin and Antonietta Mira) has been once again revised and resubmitted to Scandinavian Journal of Statistics and arXived as well. Since this is the second round of revisions, the difference is not major with the earlier version… The reason why we needed this revision is that a new […]

importance sampling with multiple MCMC sequences

Vivek Roy, Aixian Tan and James Flegal arXived a new paper, Estimating standard errors for importance sampling estimators with multiple Markov chains, where they obtain a central limit theorem and hence standard error estimates when using several MCMC chains to simulate from a mixture distribution as an importance sampling function. Just before I boarded my […]

improved importance sampling via iterated moment matching

Topi Paananen, Juho Piironen, Paul-Christian Bürkner and Aki Vehtari have recently arXived a work on constructing an adapted importance (sampling) distribution. The beginning is more a review than a new contribution, covering the earlier work by Vehtari, Gelman  and Gabri (2017): estimating the Pareto rate for the importance weight distribution helps in assessing whether or […]