Daisee: Adaptive importance sampling by balancing exploration and exploitation

Xiaoyu Lu, Tom Rainforth and Yee Whye Teh

Scandinavian Journal of Statistics, 2023, vol. 50, issue 3, 1298-1324

Abstract: We study adaptive importance sampling (AIS) as an online learning problem and argue for the importance of the trade‐off between exploration and exploitation in this adaptation. Borrowing ideas from the online learning literature, we propose Daisee, a partition‐based AIS algorithm. We further introduce a notion of regret for AIS and show that Daisee has 𝒪(T(logT)34) cumulative pseudo‐regret, where T$$ T $$ is the number of iterations. We then extend Daisee to adaptively learn a hierarchical partitioning of the sample space for more efficient sampling and confirm the performance of both algorithms empirically.

Date: 2023
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https://doi.org/10.1111/sjos.12637

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:50:y:2023:i:3:p:1298-1324

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