Variance analysis of multiple importance sampling schemes
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Publication:6192201
DOI10.1080/02331888.2023.2294484arXiv2207.04187OpenAlexW4390274231MaRDI QIDQ6192201FDOQ6192201
Authors: Rahul Mukerjee, Víctor Elvira 
Publication date: 12 February 2024
Published in: Statistics (Search for Journal in Brave)
Abstract: Multiple importance sampling (MIS) is an increasingly used methodology where several proposal densities are used to approximate integrals, generally involving target probability density functions. The use of several proposals allows for a large variety of sampling and weighting schemes. Then, the practitioner must choose a given scheme, i.e., sampling mechanism and weighting function. A variance analysis has been proposed in Elvira et al (2019, Statistical Science 34, 129-155), showing the superiority of the balanced heuristic estimator with respect to other competing schemes in some scenarios. However, some of their results are valid only for two proposals. In this paper, we extend and generalize these results, providing novel proofs that allow to determine the variance relations among MIS schemes.
Full work available at URL: https://arxiv.org/abs/2207.04187
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