TBD. Sampling from approximate distributions by reweighting. I mostly use it in particle filters.
Art Owenβs Importance sampling chapter.
References
Ben Rached, Nadhir, Zdravko Botev, Abla Kammoun, Mohamed-Slim Alouini, and Raul Tempone. 2018. βImportance Sampling Estimator of Outage Probability Under Generalized Selection Combining Model.β 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. βUnified Importance Sampling Schemes for Efficient Simulation of Outage Capacity over Generalized Fading Channels.β IEEE Journal of Selected Topics in Signal Processing 10 (2): 376β88.
Blanchet, Jose, and Henry Lam. 2012. βState-Dependent Importance Sampling for Rare-Event Simulation: An Overview and Recent Advances.β Surveys in Operations Research and Management Science 17 (1): 38β59.
Botev, Zdravko I., Pierre LβEcuyer, and Bruno Tuffin. 2013. βMarkov Chain Importance Sampling with Applications to Rare Event Probability Estimation.β Statistics and Computing 23 (2): 271β85.
Burda, Yuri, Roger Grosse, and Ruslan Salakhutdinov. 2016. βImportance Weighted Autoencoders.β In arXiv:1509.00519 [Cs, Stat].
Cremer, Chris, Quaid Morris, and David Duvenaud. 2017. βReinterpreting Importance-Weighted Autoencoders.β In ICLR 2017.
Hadjis, Stefan, and Stefano Ermon. n.d. βImportance Sampling over Sets: A New Probabilistic Inference Scheme.β
Kappen, H. J., and H. C. Ruiz. 2016. βAdaptive Importance Sampling for Control and Inference.β Journal of Statistical Physics 162 (5): 1244β66.
Karampatziakis, Nikos, and John Langford. 2010. βOnline Importance Weight Aware Updates.β arXiv:1011.1576 [Cs], November.
Kong, A. 2014. βImportance Sampling.β In Wiley StatsRef: Statistics Reference Online. American Cancer Society.
Kong, Augustine. 1992. βA Note on Importance Sampling Using Standardized Weights.β
Liu, Jun S. 1996. βMetropolized Independent Sampling with Comparisons to Rejection Sampling and Importance Sampling.β Statistics and Computing 6 (2): 113β19.
Pesenti, Silvana M., Alberto Bettini, Pietro Millossovich, and Andreas Tsanakas. 2020. βScenario Weights for Importance Measurement (SWIM) β An R Package for Sensitivity Analysis.β SSRN Scholarly Paper ID 3515274. Rochester, NY: Social Science Research Network.
Shahabuddin, Perwez. 1994. βImportance Sampling for the Simulation of Highly Reliable Markovian Systems.β Management Science 40 (3): 333β52.
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. βPareto Smoothed Importance Sampling.β arXiv:1507.02646 [Stat], July.
Virrion, Benjamin. 2020. βDeep Importance Sampling.β arXiv:2007.02692 [q-Fin], July.
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