Zoubin Ghahramani, Carl Rasmussen
We investigate Bayesian alternatives to classical Monte Carlo methods for evaluating integrals. Bayesian Monte Carlo (BMC) allows the in- corporation of prior knowledge, such as smoothness of the integrand, into the estimation. In a simple problem we show that this outperforms any classical importance sampling method. We also attempt more chal- lenging multidimensional integrals involved in computing marginal like- lihoods of statistical models (a.k.a. partition functions and model evi- dences). We ﬁnd that Bayesian Monte Carlo outperformed Annealed Importance Sampling, although for very high dimensional problems or problems with massive multimodality BMC may be less adequate. One advantage of the Bayesian approach to Monte Carlo is that samples can be drawn from any distribution. This allows for the possibility of active design of sample points so as to maximise information gain.