Target-aware Bayesian inference: how to beat optimal conventional estimators

MaRDI QIDQ4969150zbMATH OpenFDO

Authors Tom Rainforth, Adam Goliński, Frank Wood, Sheheryar Zaidi

Publication date 5 October 2020

Full work available at URL https://jmlr.csail.mit.edu/papers/v21/19-102.html

zbMATH Keywords

adaptive samplingamortized inferenceBayesian inferenceimportance samplingMonte Carlo methods

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05)

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Cites work

• A tutorial on bridge sampling
• Adaptive importance sampling in monte carlo integration
• Adaptive multiple importance sampling
• Adaptive umbrella sampling: Self-consistent determination of the non- Boltzmann bias
• Convergence of adaptive mixtures of importance sampling schemes
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Generalized multiple importance sampling
• scientific article; zbMATH DE number 6377992 (Why is no real title available?)
• scientific article; zbMATH DE number 6114093 (Why is no real title available?)
• scientific article; zbMATH DE number 4213407 (Why is no real title available?)
• scientific article; zbMATH DE number 947416 (Why is no real title available?)
• Layered adaptive importance sampling
• Methods for approximating integrals in statistics with special emphasis on Bayesian integration problems
• Methods of reducing sample size in Monte Carlo computations
• On Monte Carlo methods for estimating ratios of normalizing constants
• Properties of nested sampling
• Safe and Effective Importance Sampling
• Sequential Monte Carlo Methods in Practice
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Some summation formulas involving harmonic numbers and generalized harmonic numbers
• The Bayesian Choice
• The sample size required in importance sampling

Cited in

(3)

• Daisee: Adaptive importance sampling by balancing exploration and exploitation
• Target-aware Bayesian inference via generalized thermodynamic integration
• Estimation of ratios of normalizing constants using stochastic approximation: the SARIS algorithm

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