BR-SNIS: Bias Reduced Self-Normalized Importance Sampling - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2022

BR-SNIS: Bias Reduced Self-Normalized Importance Sampling

Résumé

Importance Sampling (IS) is a method for approximating expectations under a target distribution using independent samples from a proposal distribution and the associated importance weights. In many applications, the target distribution is known only up to a normalization constant, in which case self-normalized IS (SNIS) can be used. While the use of self-normalization can have a positive effect on the dispersion of the estimator, it introduces bias. In this work, we propose a new method, BR-SNIS, whose complexity is essentially the same as that of SNIS and which significantly reduces bias without increasing the variance. This method is a wrapper in the sense that it uses the same proposal samples and importance weights as SNIS, but makes clever use of iterated sampling--importance resampling (ISIR) to form a bias-reduced version of the estimator. We furnish the proposed algorithm with rigorous theoretical results, including new bias, variance and high-probability bounds, and these are illustrated by numerical examples.

Dates et versions

hal-03788934 , version 1 (27-09-2022)

Identifiants

Citer

Gabriel Cardoso, Sergey Samsonov, Achille Thin, Eric Moulines, Jimmy Olsson. BR-SNIS: Bias Reduced Self-Normalized Importance Sampling. 2022. ⟨hal-03788934⟩
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