Score-Based Diffusion meets Annealed Importance Sampling. (arXiv:2208.07698v2 [stat.ML] UPDATED)

More than twenty years after its introduction, Annealed Importance Sampling
(AIS) remains one of the most effective methods for marginal likelihood
estimation. It relies on a sequence of distributions interpolating between a
tractable initial distribution and the target distribution of interest which we
simulate from approximately using a non-homogeneous Markov chain. To obtain an
importance sampling estimate of the marginal likelihood, AIS introduces an
extended target distribution to reweight the Markov chain proposal. While much
effort has been devoted to …

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