Beyond Effective Sample Size: Effective Number of Proposals for Adaptive Importance Sampling
Population-based adaptive importance sampling (AIS) methods use a set of proposal densities to approximate complex target distributions. Their performance is commonly assessed through effective sample size (ESS) and related weight-based diagnostics, which measure the concentration of normalized importance weights. However, a large ESS only indicates that the normalized sample weights are not strongly concentrated; it does not describe how the proposal components are arranged in the sampling space. In population-based AIS, several proposal components may generate samples in the same region of the target, so the sample weights can appear well balanced even though the effective number of dis...
| Authors | Ali Mousavi, Victor Elvira |
|---|---|
| Primary category | stat.ML |
| Published | 15 August 2026 |
| Last updated at source | 15 August 2026 |
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