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• W4315704943 abstract "Importance sampling (IS) is a powerful Monte Carlo methodology for the approximation of intractable integrals, very often involving a target probability distribution. The performance of IS heavily depends on the appropriate selection of the proposal distributions where the samples are simulated from. In this paper, we propose an adaptive importance sampler, called GRAMIS, that iteratively improves the set of proposals. The algorithm exploits geometric information of the target to adapt the location and scale parameters of those proposals. Moreover, in order to allow for a cooperative adaptation, a repulsion term is introduced that favors a coordinated exploration of the state space. This translates into a more diverse exploration and a better approximation of the target via the mixture of proposals. Moreover, we provide a theoretical justification of the repulsion term. We show the good performance of GRAMIS in two problems where the target has a challenging shape and cannot be easily approximated by a standard uni-modal proposal." @default.
• W4315704943 created "2023-01-12" @default.
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• W4315704943 date "2023-09-01" @default.
• W4315704943 modified "2023-10-18" @default.
• W4315704943 title "Gradient-based adaptive importance samplers" @default.
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• W4315704943 doi "https://doi.org/10.1016/j.jfranklin.2023.06.041" @default.
• W4315704943 hasPublicationYear "2023" @default.
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