Distilling importance sampling

10/08/2019
by   Dennis Prangle, et al.
0

The two main approaches to Bayesian inference are sampling and optimisation methods. However many complicated posteriors are difficult to approximate by either. Therefore we propose a novel approach combining features of both. We use a flexible parameterised family of densities, such as a normalising flow. Given a density from this family approximating the posterior we use importance sampling to produce a weighted sample from a more accurate posterior approximation. This sample is then used in optimisation to update the parameters of the approximate density, a process we refer to as "distilling" the importance sampling results. We illustrate our method in a queueing model example.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset