Importance Sampling: Intrinsic Dimension and Computational Cost

Abstract

The basic idea of importance sampling is to use independent samples from a proposal measure in order to approximate expectations with respect to a target measure. It is key to understand how many samples are required in order to guarantee accurate approximations. Intuitively, some notion of distance between the target and the proposal should determine the computational cost of the method. A major challenge is to quantify this distance in terms of parameters or statistics that are pertinent for the practitioner. The subject has attracted substantial interest from within a variety of communities. The objective of this paper is to overview and unify the resulting literature by creating an overarching framework. A general theory is presented, with a focus on the use of importance sampling in Bayesian inverse problems and filtering.

Additional Information

© 2017 Institute of Mathematical Statistics. First available in Project Euclid: 1 September 2017. The authors are thankful to Alexandre Chorin, Arnaud Doucet, Adam Johansen, and Matthias Morzfeld for their generous feedback. SA and DSA are grateful to EPSRC for financial support. AMS is grateful to DARPA, EPSRC and ONR for financial support.

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Submitted - 1511.06196v1.pdf

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