IEEE Signal Processing Letters, Volume (28), Year (2021-1) , Pages (713-717)

Title : ( Hamiltonian Adaptive Importance Sampling )

Authors: Ali Mousavi , Reza Monsefi , Victor Elvira ,

Citation: BibTeX | EndNote


Importance sampling (IS) is a powerful Monte Carlo (MC) methodology for approximating integrals, for instance in the context ofBayesian inference. In IS, the samples are simulated from the so-called proposal distribution, and the choice of this proposal is key for achieving a high performance. In adaptive IS (AIS) methods, a set of proposals is iteratively improved. AIS is a relevant and timelymethodology although many limitations remain yet to be overcome, e.g., the curse of dimensionality in high-dimensional and multi-modal problems. Moreover, the Hamiltonian Monte Carlo (HMC) algorithm has become increasingly popular in machine learning and statistics. HMC has several appealing features such as its exploratory behavior, especially in high-dimensional targets, when other methods suffer. In this letter, we introduce the novel Hamiltonian adaptive importance sampling (HAIS)method. HAIS implements a two-step adaptive process with parallel HMC chains that cooperate at each iteration. The proposed HAIS efficiently adapts a population of proposals, extracting the advantages of HMC. HAIS can be understood as a particular instance of the generic layered AIS family with an additional resampling step. HAIS achieves a significant performance improvement in highdimensional problems w.r.t. state-of-the-art algorithms.We discuss the statistical properties of HAIS and show its high performance in two challenging examples.


, Adaptive importance sampling, hamiltonian monte carlo
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author = {Mousavi, Ali and Monsefi, Reza and Victor Elvira},
title = {Hamiltonian Adaptive Importance Sampling},
journal = {IEEE Signal Processing Letters},
year = {2021},
volume = {28},
month = {January},
issn = {1070-9908},
pages = {713--717},
numpages = {4},
keywords = {Adaptive importance sampling; hamiltonian monte carlo},


%0 Journal Article
%T Hamiltonian Adaptive Importance Sampling
%A Mousavi, Ali
%A Monsefi, Reza
%A Victor Elvira
%J IEEE Signal Processing Letters
%@ 1070-9908
%D 2021