Beyond Effective Sample Size: Effective Number of Proposals for Adaptive Importance Sampling

Excerpt

arXiv:2608.15154v1 Announce Type: cross Abstract: Population-based adaptive importance sampling (AIS) methods use a set of proposal densities to approximate complex target distributions. Their performance is commonly assessed through effective sample size (ESS) and related weight-based diagnostics, which measure the concentration of normalized importance weights. However, a large ESS only indicates that the normalized sample weights are not strongly concentrated; it does not describe how the pro