Annealed Importance Sampling with q-Paths

Annealed importance sampling (AIS) is the gold standard for estimating partition functions or marginal likelihoods, corresponding to importance sampling over a path of distributions between a tractable base and an unnormalized target. While AIS yields an unbiased estimator for any path, existing literature has been primarily limited to the geometric mixture or moment-averaged paths associated with the exponential family and KL divergence. We explore AIS using $q$-paths, which include the geometric path as a special case and are related to the homogeneous power mean, deformed exponential family, and $\alpha$-divergence.

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