Work

General-purpose post-sampling reweighting method for multimodal target measures

Year: 2026

Type: preprint

Abstract: When sampling multi-modal probability distributions, correctly estimating the relative probability of each mode, even when the modes have been discovered and locally sampled, remains challenging. We test a simple reweighting scheme designed for this situation, which consists in minimizing (in terms of weights) the Kullback-Leibler divergence of a weighted (regularized) empirical distribution of the samples with respect to the target measure.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2602.12027

Author: Monmarché, Pierre

Institutions: Institut Universitaire de France, Laboratoire d’Analyse et de Mathématiques Appliquées, Université Gustave Eiffel

Topic: Markov Chains and Monte Carlo Methods

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

Funder: Agence Nationale de la Recherche

Award: Convergence and Interactions via Analysis and Probability

OpenAlex ID: W7128776784

Cites:

Cited by:

Related to: