We propose an importance sampling algorithm with proposal distribution obtained from variational approximation. This method combines the strength of both importance sampling and variational method. On one hand, this method avoids the bias from variational method. On the other hand, variational approximation provides a way to design the proposal distribution for the importance sampling algorithm. Theoretical justification of the proposed method is provided. Numerical results show that using variational approximation as the proposal can improve the performance of importance sampling and sequential importance sampling.

中文翻译：

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重要抽样的变分近似

我们提出了一种重要抽样算法，其中建议分布是从变分近似中获得的。该方法结合了重要性抽样和变异方法的优势。一方面，这种方法避免了变分方法的偏差。另一方面，变分近似提供了一种设计重要性抽样算法的提议分布的方法。提供了所提出方法的理论依据。数值结果表明，采用变分近似方法可以提高重要性抽样和顺序重要性抽样的性能。