Last Friday, Guanyang Wang arXived a paper on the use of multi-armed bandits (hence the reference to the three bandits) to handle intractable normalising constants. The bandit compares or mixes Møller et al. (2006) auxiliary variable solution with Murray et al. (2006) exchange algorithm. Which are both special cases of pseudo-marginal MCMC algorithms. In both […]

# Category: normalising constant

## Gibbs clashes with importance sampling

In an X validated question, an interesting proposal was made: at each (component-wise) step of a Gibbs sampler, replace simulation from the exact full conditional with simulation from an alternate density and weight the resulting simulation with a term made of a product of (a) the previous weight (b) the ratio of the true conditional […]

## Bernoulli race particle filters

Sebastian Schmon, Arnaud Doucet and George Deligiannidis have recently arXived an AISTATS paper with the above nice title. The motivation for the extension is facing intractable particle weights for state space models, as for instance in discretised diffusions. In most cases, actually, the weight associated with the optimal forward proposal involves an intractable integral which […]