Yesterday, the MCqMC 2016 conference started, which I am unfortunately not attending – the program looks very interesting! Tomorrow, Nicolas Chopin will chair the session on importance sampling that I organized.
Advances in Importance Sampling
Wednesday August 17th 10:25–11:55, Berg B
Recently, there has been renewed interest in Importance Sampling, with results that go far beyond the state of the art of the early nineties when research focus shifted to MCMC. These results include theoretical advances in the analysis of convergence conditions and convergence assessment on one side. On the other, an overarching Multiple Importance Sampling framework has been proposed as well as IS based on piecewise deterministic processes, which allows, amongst other things, data subsampling and incorporating gradient information.
Generalized Multiple Importance Sampling
Importance sampling methods are broadly used to approximate posterior distributions or some of their moments. In its standard approach, samples are drawn from a single proposal distribution and weighted properly. However, since the performance depends on the mismatch between the targeted and the proposal distributions, several proposal densities are often employed for the generation of samples. Under this Multiple Importance Sampling (MIS) scenario, many works have addressed the selection or adaptation of the proposal distributions, interpreting the sampling and the weighting steps in different ways. In this paper, we establish a novel general framework for sampling and weighting procedures when more than one proposal is available. The most relevant MIS schemes in the literature are encompassed within the new framework, and, moreover novel valid schemes appear naturally. All the MIS schemes are compared and ranked in terms of the variance of the associated estimators. Finally, we provide illustrative examples which reveal that, even with a good choice of the proposal densities, a careful interpretation of the sampling and weighting procedures can make a significant difference in the performance of the method. Joint work with L. Martino (University of Valencia), D. Luengo (Universidad Politecnica de Madrid) and M. F. Bugallo (Stony Brook University of New York).
The sample size required in Importance Sampling
Continuous Time Importance Sampling for Jump Diffusions with Application to Maximum Likelihood Estimation
In the talk I will present a novel algorithm for sampling multidimensional irreducible jump diffusions that, unlike methods based on time discretisation, is unbiased. The algorithm can be used as a building block for maximum likelihood parameter estimation. The approach is illustrated by numerical examples of financial models like the Merton or double-jump model where its efficiency is compared to methods based on the standard Euler discretisation and Multilevel Monte Carlo. Joint work with Sylvain Le Corff, Paul Fearnhead, Gareth O. Roberts, and Giorgios Sermaidis.