Mastering Probabilistic Graphical Models Using Python

Importance sampling

As it turns out, likelihood weighting is a special case of a more generic method known as importance sampling. In this section, we will talk about importance sampling and show how likelihood weighting is derived from it.

Importance sampling is an approach used to estimate the expectation of a function relative to some distribution P(X), known as target distribution. As we saw in the previous sections, we can easily do this by generating particles from P and then estimating the following:

However, in some cases, we may want to generate ...