Annealed importance sampling

@article{Neal2001AnnealedIS,
  title={Annealed importance sampling},
  author={Radford M. Neal},
  journal={Statistics and Computing},
  year={2001},
  volume={11},
  pages={125-139}
}
Simulated annealing—moving from a tractable distribution to a distribution of interest via a sequence of intermediate distributions—has traditionally been used as an inexact method of handling isolated modes in Markov chain samplers. [] Key Method The Markov chain aspect allows this method to perform acceptably even for high-dimensional problems, where finding good importance sampling distributions would otherwise be very difficult, while the use of importance weights ensures that the estimates found…
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