Generalizing the Balance Heuristic Estimator in Multiple Importance Sampling

In this paper, we propose a novel and generic family of multiple importance sampling estimators. We first revisit the celebrated balance heuristic estimator, a widely used Monte Carlo technique for the approximation of intractable integrals. Then, we establish a generalized framework for the combina...

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Bibliographic Details

Published in:	Entropy
Main Authors:	Mateu Sbert, Víctor Elvira
Format:	Article
Language:	English
Published:	MDPI AG 2022-01-01
Subjects:	Monte Carlo importance sampling balance heuristic variance reduction chi-square divergence Kullback–Leibler divergence
Online Access:	https://www.mdpi.com/1099-4300/24/2/191