Markov Chain Monte Carlo methods

TBD. Sampling from approximate distributions by reweighting. I mostly use it in particle filters.

Art Owen’s Importance sampling chapter.


Ben Rached, Nadhir, Zdravko Botev, Abla Kammoun, Mohamed-Slim Alouini, and Raul Tempone. 2018. β€œImportance Sampling Estimator of Outage Probability Under Generalized Selection Combining Model.” In Proc of the IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 5.
Ben Rached, N., A. Kammoun, M.-S. Alouini, and R. Tempone. 2016. β€œUnified Importance Sampling Schemes for Efficient Simulation of Outage Capacity over Generalized Fading Channels.” IEEE Journal of Selected Topics in Signal Processing 10 (2): 376–88.
Blanchet, Jose, and Henry Lam. 2012. β€œState-Dependent Importance Sampling for Rare-Event Simulation: An Overview and Recent Advances.” Surveys in Operations Research and Management Science 17 (1): 38–59.
Botev, Zdravko I., Pierre L’Ecuyer, and Bruno Tuffin. 2013. β€œMarkov Chain Importance Sampling with Applications to Rare Event Probability Estimation.” Statistics and Computing 23 (2): 271–85.
Burda, Yuri, Roger Grosse, and Ruslan Salakhutdinov. 2016. β€œImportance Weighted Autoencoders.” In arXiv:1509.00519 [Cs, Stat].
Cremer, Chris, Quaid Morris, and David Duvenaud. 2017. β€œReinterpreting Importance-Weighted Autoencoders.” In ICLR 2017.
Hadjis, Stefan, and Stefano Ermon. n.d. β€œImportance Sampling over Sets: A New Probabilistic Inference Scheme.”
Kappen, H. J., and H. C. Ruiz. 2016. β€œAdaptive Importance Sampling for Control and Inference.” Journal of Statistical Physics 162 (5): 1244–66.
Karampatziakis, Nikos, and John Langford. 2010. β€œOnline Importance Weight Aware Updates.” arXiv:1011.1576 [Cs], November.
Kong, A. 2014. β€œImportance Sampling.” In Wiley StatsRef: Statistics Reference Online. American Cancer Society.
Kong, Augustine. 1992. β€œA Note on Importance Sampling Using Standardized Weights.”
Liu, Jun S. 1996. β€œMetropolized Independent Sampling with Comparisons to Rejection Sampling and Importance Sampling.” Statistics and Computing 6 (2): 113–19.
Pesenti, Silvana M., Alberto Bettini, Pietro Millossovich, and Andreas Tsanakas. 2020. β€œScenario Weights for Importance Measurement (SWIM) – An R Package for Sensitivity Analysis.” SSRN Scholarly Paper ID 3515274. Rochester, NY: Social Science Research Network.
Shahabuddin, Perwez. 1994. β€œImportance Sampling for the Simulation of Highly Reliable Markovian Systems.” Management Science 40 (3): 333–52.
Srinivasan, Rajan. 2013. Importance Sampling: Applications in Communications and Detection. Springer Science & Business Media.
Vehtari, Aki, Daniel Simpson, Andrew Gelman, Yuling Yao, and Jonah Gabry. 2019. β€œPareto Smoothed Importance Sampling.” arXiv:1507.02646 [Stat], July.
Virrion, Benjamin. 2020. β€œDeep Importance Sampling.” arXiv:2007.02692 [q-Fin], July.

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