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arXiv · 2602.12027

General-purpose post-sampling reweighting method for multimodal target measures

Pierre Monmarché
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Abstract

When sampling multi-modal probability distributions, correctly estimating the relative probability of each mode, even when the modes have been discovered and locally sampled, remains challenging. We test a simple reweighting scheme designed for this situation, which consists in minimizing (in terms of weights) the Kullback-Leibler divergence of a weighted (regularized) empirical distribution of the samples with respect to the target measure.

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Pierre Monmarché. 2026-02-12. General-purpose post-sampling reweighting method for multimodal target measures. https://arxiv.org/abs/2602.12027

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