Stochastic adaptation of importance sampler
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Abstract: Improving efficiency of importance sampler is at the center of research in Monte Carlo methods. While adaptive approach is usually difficult within the Markov Chain Monte Carlo framework, the counterpart in importance sampling can be justified and validated easily. We propose an iterative adaptation method for learning the proposal distribution of an importance sampler based on stochastic approximation. The stochastic approximation method can recruit general iterative optimization techniques like the minorization-maximization algorithm. The effectiveness of the approach in optimizing the Kullback divergence between the proposal distribution and the target is demonstrated using several simple examples.
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Cites work
- Adaptative Monte Carlo Method, A Variance Reduction Technique
- An adaptive Metropolis algorithm
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- Convergence of adaptive mixtures of importance sampling schemes
- scientific article; zbMATH DE number 1043533 (Why is no real title available?)
- On the Convergence of Stochastic Iterative Dynamic Programming Algorithms
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Cited in
(20)- Adapative importance sampling on discrete Markov chains
- Adaptive importance sampling for optimization under uncertainty problems
- Convergence rates for optimised adaptive importance samplers
- Implicitly adaptive importance sampling
- A principled stopping rule for importance sampling
- Layered adaptive importance sampling
- Optimal \(L_2\)-norm empirical importance weights for the change of probability measure
- Consistency of adaptive importance sampling and recycling schemes
- Variational approximation for importance sampling
- Moment matching adaptive importance sampling with skew-Student proposals
- Adaptive multiple importance sampling
- Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
- Convergence of Monte Carlo distribution estimates from rival samplers
- Optimizing adaptive importance sampling by stochastic approximation
- Adaptive multiple importance sampling for Gaussian processes
- MCMC-driven adaptive multiple importance sampling
- Method for approximating target distribution of importance sampling
- Daisee: Adaptive importance sampling by balancing exploration and exploitation
- Gradient-based adaptive importance samplers
- Convergence of adaptive mixtures of importance sampling schemes
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