# Implicitly Adaptive Importance Sampling

arXiv: https://arxiv.org/abs/1906.08850 · HTML: https://mlsanity.com/paper/1906.08850/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 20 Jun 2019.

## Built on by (most cited first, 1 of 1)

- [Binary Classification: Is Boosting stronger than Bagging?](https://mlsanity.com/paper/2410.19200/) (2024)

## Abstract (arXiv)

Adaptive importance sampling is a class of techniques for finding good proposal distributions for importance sampling. Often the proposal distributions are standard probability distributions whose parameters are adapted based on the mismatch between the current proposal and a target distribution. In this work, we present an implicit adaptive importance sampling method that applies to complicated distributions which are not available in closed form. The method iteratively matches the moments of a set of Monte Carlo draws to weighted moments based on importance weights. We apply the method to Bayesian leave-one-out cross-validation and show that it performs better than many existing parametric adaptive importance sampling methods while being computationally inexpensive.