Efficient Multiple Importance Sampling Estimators (1505.05391v1)

Abstract: Multiple importance sampling (MIS) methods use a set of proposal distributions from which samples are drawn. Each sample is then assigned an importance weight that can be obtained according to different strategies. This work is motivated by the trade-off between variance reduction and computational complexity of the different approaches (classical vs. deterministic mixture) available for the weight calculation. A new method that achieves an efficient compromise between both factors is introduced in this paper. It is based on forming a partition of the set of proposal distributions and computing the weights accordingly. Computer simulations show the excellent performance of the associated \mbox{\emph{partial deterministic mixture} MIS estimator.