Tree pyramidal adaptive importance sampling

18 Dec 2019Javier FelipNilesh AhujaOmesh Tickoo

This paper introduces Tree-Pyramidal Adaptive Importance Sampling (TP-AIS), a novel iterated sampling method that outperforms state-of-the-art approaches like deterministic mixture population Monte Carlo (DM-PMC), mixture population Monte Carlo (M-PMC) and layered adaptive importance sampling (LAIS). TP-AIS iteratively builds a proposal distribution parameterized by a tree pyramid, where each tree leaf spans a subspace that represents its importance density... (read more)

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