In this article we will look at a practically important measure of efficiency in importance sampling, the so called effective sample size (ESS) estimate. This measure was proposed by Augustine Kong in 1992 in a technical report which until recently has been difficult to locate online, but after getting in …

One of my all-time favorite algorithms is reverse search proposed by David Avis and Komei Fukuda in 1992, PDF.

Reverse search is an algorithm to solve enumeration problems, that is, problems where you would like to list a finite set of typically combinatorially related elements. Reverse search is not quite …

This post is about a recent arXiv submission entitled Gradient Estimation Using Stochastic Computation Graphs, and authored by John Schulman, Nicolas Heess, Theophane Weber, and Pieter Abbeel.

In a nutshell this paper generalizes the backpropagation algorithm to allow differentiation through expectations, that is, to compute unbiased estimates of

This article is about multilevel splitting, a method for estimating the probability of rare events.

Estimating the probability of rare events is important in many fields. One vivid example is in the study of reliability of systems; imagine for example, that we are responsible for building a mechanical structure such …

P-Values (see also Jim Berger's page on p-values) are probably one of the most misunderstood concepts in statistics and certainly have been abused in statistical practice. Originally proposed as an informal diagnostic by Ronald Fisher, there are many reasons for the bad reputation of p-values, and in many relevant situations …