annealed importance sampling

(2.4 hours to learn)

Summary

Annealed importance sampling (AIS) is a Monte Carlo algorithm based on sampling from a sequence of distributions which interpolate between a tractable initial distribution and the intractable target distribution. It returns a set of weighted samples, and in the limit of infinitely many intermediate distributions, the variance of the weights approahces zero. The most common use is in estimating partition functions.

Context

This concept has the prerequisites:

Goals

  • Know the steps the AIS algorithm.
  • Know how to obtain weighted samples and estimates of the partition function from the algorithm's outputs.
  • Show that the variance of the weights approaches zero in the limit of infinitely many intermediate distributions (assuming the transition operator returns perfect samples).

Core resources (read/watch one of the following)

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Annealed importance sampling
  • Section 2, "The annealed importance sampling procedure"
  • Section 4, "Efficiency of annealed importance sampling"
Author: Radford M. Neal

Supplemental resources (the following are optional, but you may find them useful)

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See also