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arXiv · 2012.07823

Annealed Importance Sampling with q-Paths

Rob Brekelmans·Vaden Masrani·Thang Bui·Frank Wood·Aram Galstyan·Greg Ver Steeg·Frank Nielsen
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Abstract

Annealed importance sampling (AIS) is the gold standard for estimating partition functions or marginal likelihoods, corresponding to importance sampling over a path of distributions between a tractable base and an unnormalized target. While AIS yields an unbiased estimator for any path, existing literature has been primarily limited to the geometric mixture or moment-averaged paths associated with the exponential family and KL divergence. We explore AIS using $q$-paths, which include the geometric path as a special case and are related to the homogeneous power mean, deformed exponential family, and $\alpha$-divergence.

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Rob Brekelmans, Vaden Masrani, Thang Bui, Frank Wood, Aram Galstyan, Greg Ver Steeg, Frank Nielsen. 2020-12-14. Annealed Importance Sampling with q-Paths. https://arxiv.org/abs/2012.07823

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