Adaptive importance sampling for heavy-tailed distributions via $α$-divergence minimization

1 code implementation • 25 Oct 2023 • Thomas Guilmeau, Nicola Branchini, Emilie Chouzenoux, Víctor Elvira

We then show that the $\alpha$-divergence can be approximated by a generalized notion of effective sample size and leverage this new perspective to adapt the tail parameter with Bayesian optimization.

Bayesian Optimization Variational Inference