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Importance Sampling
Importance Sampling
4 questions
Difficulty 3-7
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Foundation
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foundation (3/10)
compute
Importance sampling estimates
E
p
[
f
(
X
)]
using samples from a proposal
q
via
μ
^
=
n
1
∑
i
f
(
X
i
)
w
(
X
i
)
, where
X
i
∼
q
. What is the correct weight
w
(
x
)
?
Hide and think first
A.
w
(
x
)
=
p
(
x
)
/
q
(
x
)
, the ratio of target density to proposal density at the sample point
x
B.
w
(
x
)
=
p
(
x
)
−
q
(
x
)
, the density difference that corrects for the mismatch between target and proposal
C.
w
(
x
)
=
q
(
x
)
/
p
(
x
)
, the ratio of proposal density to target density at the sample point
x
D.
w
(
x
)
=
p
(
x
)
/
q
(
x
)
, a geometric mean of densities to reduce estimator variance
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