Computationally Efficient Nonparametric Importance Sampling
计算高效的非参数重要性抽样
The variance reduction established by importance sampling strongly depends on the choice of the importance sampling distribution. A good choice is often hard to achieve especially for high-dimensional integration problems. Nonparametric estimation of the optimal importance sampling distribution (known as “nonparametric importance sampling”) is a reasonable alternative to parametric approaches. In this article, nonparametric variants of both the self-normalized and the…