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math.ST2022★ 2 cited
Regularized Rényi divergence minimization through Bregman proximal gradient algorithms
Thomas Guilmeau, Emilie Chouzenoux, Víctor Elvira
We study the variational inference problem of minimizing a regularized Rényi divergence over an exponential family. We propose to solve this problem with a Bregman proximal gradien…
math.ST2022
Variance Analysis of Multiple Importance Sampling Schemes
Rahul Mukerjee, Víctor Elvira
Multiple importance sampling (MIS) is an increasingly used methodology where several proposal densities are used to approximate integrals, generally involving target probability de…