An Overview of High-Dimensional Sampling Methods

An overview of high-dimensional sampling methods

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Overview

This is a self-organized overview of high-dimensional sampling methods including Exact and Weighted Sampling (Inverse,Rejection,Importance Sampling), Markov Chain Monte Carlo (Gibbs Sampling, Metropolis-Hastings, Lengevin Dynamics), and Sequential Monte Carlo methods. I used it as a talk at diffusion model group meeting at NYU Shanghai under Mathieu Laurière. See more details in in the slides.