Importance sampling as a variational approximation

DOI10.1016/J.SPL.2011.02.028MaRDI QIDQ553007zbMATH OpenOpenAlexFDO

Authors Mark Fielding, David J. Nott, Jia-Liang Li

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.02.028

zbMATH Keywords

algorithmsBayesian computationimportance samplingKullback-Leibler divergencevariational approximation

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Sampling theory, sample surveys (62D05)

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Cites work

• Explaining variational approximations
• scientific article; zbMATH DE number 1222283 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• On Information and Sufficiency
• Pattern recognition and machine learning.
• Variational message passing

Cited in

(15)

• Exact inference using variable integrating constant importance distributions
• Importance sampling from posterior distributions using copula-like approximations
• Importance sampling: intrinsic dimension and computational cost
• Coupling the reduced-order model and the generative model for an importance sampling estimator
• Conditionally structured variational Gaussian approximation with importance weights
• Alternative proof and interpretations for a recent state-dependent importance sampling scheme
• Variational approximation for importance sampling
• Importance sampling: how to approach the optimal density?
• Quantization based recursive importance sampling
• Importance sampling type estimators based on approximate marginal Markov chain Monte Carlo
• Climate regime shift detection with a trans‐dimensional, sequential Monte Carlo, variational Bayes method
• Importance sampling in signal processing applications
• Method for approximating target distribution of importance sampling
• Policy Gradient Importance Sampling for Bayesian Inference
• Unconstrained recursive importance sampling

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Uses Software

• PRMLT

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