3 papers
math.ST2026
Effective sample size approximations as entropy measures
L. Martino, V. Elvira
In this work, we analyze alternative effective sample size (ESS) metrics for importance sampling algorithms, and discuss a possible extended range of applications. We show the rela…
stat.CO2025
Target-aware Bayesian inference via generalized thermodynamic integration
F. Llorente, L. Martino, D. Delgado
In Bayesian inference, we are usually interested in the numerical approximation of integrals that are posterior expectations or marginal likelihoods (a.k.a., Bayesian evidence). In…
cs.LG2025
A survey of Monte Carlo methods for noisy and costly densities with application to reinforcement learning and ABC
F. Llorente, L. Martino, J. Read +1
This survey gives an overview of Monte Carlo methodologies using surrogate models, for dealing with densities which are intractable, costly, and/or noisy. This type of problem can…