Generalized Multiple Importance Sampling
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DOI: 10.1214/18-sts668
Abstract: 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 performance depends… read more here.
Keywords: multiple importance; generalized multiple; proposal; importance sampling ... See more keywords
Generalizing the Balance Heuristic Estimator in Multiple Importance Sampling
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DOI: 10.3390/e24020191
Abstract: In this paper, we propose a novel and generic family of multiple importance sampling estimators. We first revisit the celebrated balance heuristic estimator, a widely used Monte Carlo technique for the approximation of intractable integrals.… read more here.
Keywords: balance heuristic; estimator; importance sampling; heuristic estimator ... See more keywords