Safe and Effective Importance Sampling
安全且有效的重要性抽样
We present two improvements on the technique of importance sampling. First, we show that importance sampling from a mixture of densities, using those densities as control variates, results in a useful upper bound on the asymptotic variance. That bound is a small multiple of the asymptotic variance of importance sampling from the best single component density. This allows one to benefit from the great variance reductions obtainable by importance sampling, while protecting…