All Questions
Tagged with importance-sampling machine-learning
7 questions
0
votes
0
answers
22
views
Learning a probability distribution from samples drawn from unknown function
I am wanting to learn some probability distribution $p$ from data (using e.g., Kernel Density Estimation, a Normalizing Flow, whatever your favourite machine learning model is).
If I had a dataset $D =...
- 91
0
votes
0
answers
89
views
How to compute the bias of the auto-normalized importance sampling estimator
A preceding post has compared auto-normalized importance sampling with ordinal importance sampling. Beginner readers shall be directed there, but I will remind the readers of just enough elements for ...
2
votes
1
answer
263
views
Monte-Carlo integration with importance-sampling
I came across a paper, where (section 3.2) importance sampling is used to estimate an integral. I think I understand what importance sampling is but I don't understand how they got the solution.
The ...
- 23
1
vote
0
answers
113
views
In the β-TCVAE paper, can someone help with the derivation (S3) in Appendix C.1?
Paper: Isolating Sources of Disentanglement in VAEs
I follow as far as,
$$\mathbb{E}_{q(z)}[log[q(z)] = \mathbb{E}_{q(z, n)}[\ log\ \mathbb{E}_{n'\sim\ p(n)}[q(z|n')]\ ]$$ Subsequently, I don't ...
- 33
0
votes
1
answer
939
views
Weighted importance sampling (WIS) and Importance sampling (IS)
I am currently reading papers about off-policy evaluation (or counterfactual evaluation) of reinforcement learning policies, including ones about the doubly robust estimator.
As in this paper https://...
- 155
6
votes
1
answer
155
views
About the variance of a weighted sum
What can be said about the variance of the following quantity
$$
\frac{1}{n}\sum_{i=1}^n \left(\frac{f(x_i)}{\sum_{j=1}^nf(x_j)}-b\right)g(x_i) ?
$$
Here, $b \in [0, 1]$, and the $x_i$s are i.i.d ...
- 538
12
votes
1
answer
1k
views
Preventing Pareto smoothed importance sampling (PSIS-LOO) from failing
I recently started using Pareto smoothed importance sampling leave-one-out cross-validation (PSIS-LOO), described in these papers:
Vehtari, A., & Gelman, A. (2015). Pareto smoothed importance ...
- 5,238