Regularized Greedy Importance Sampling

Abstract

Greedy importance sampling is an unbiased estimation technique that re- duces the variance of standard importance sampling by explicitly search- ing for modes in the estimation objective. Previous work has demon- strated the feasibility of implementing this method and proved that the technique is unbiased in both discrete and continuous domains. In this paper we present a reformulation of greedy importance sampling that eliminates the free parameters from the original estimator, and introduces a new regularization strategy that further reduces variance without com- promising unbiasedness. The resulting estimator is shown to be effective for difficult estimation problems arising in Markov random field infer- ence. In particular, improvements are achieved over standard MCMC estimators when the distribution has multiple peaked modes.