Vertical-likelihood Monte Carlo (1409.3601v2)

Abstract: In this review, we address the use of Monte Carlo methods for approximating definite integrals of the form $Z = \int L(x) d P(x)$, where $L$ is a target function (often a likelihood) and $P$ a finite measure. We present vertical-likelihood Monte Carlo, which is an approach for designing the importance function $g(x)$ used in importance sampling. Our approach exploits a duality between two random variables: the random draw $X \sim g$, and the corresponding random likelihood ordinate $Y\equiv L(X)$ of the draw. It is natural to specify $g(x)$ and ask: what is the the implied distribution of $Y$? In this paper, we take up the opposite question: what should the distribution of $Y$ be so that the implied importance function $g(x)$ is good for approximating $Z$? Our answer turns out to unite seven seemingly disparate classes of algorithms under the vertical-likelihood perspective: importance sampling, slice sampling, simulated annealing/tempering, the harmonic-mean estimator, the vertical-density sampler, nested sampling, and energy-level sampling (a suite of related methods from statistical physics). In particular, we give an alterate presentation of nested sampling, paying special attention to the connection between this method and the vertical-likelihood perspective articulated here. As an alternative to nested sampling, we describe an MCMC method based on re-weighted slice sampling. This method's convergence properties are studied, and two examples demonstrate the promise of the overall approach.