Optimality in importance sampling: a gentle survey
This paper provides a comprehensive review of optimality within importance sampling techniques, a critical component for the performance of Monte Carlo sampling methods. It explores various frameworks for designing adaptive proposal densities, including marginal likelihood approximation for model selection, the use of multiple proposal densities, and sequences of tempered posteriors. The survey also delves into applications in noisy scenarios such as approximate Bayesian computation and reinforcement learning, offering theoretical and empirical comparisons. AI
IMPACT Provides a theoretical foundation for advanced sampling techniques used in AI research.
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