The paper frames subset selection in SAM optimization as a contextual bandit problem and applies the Exp4 algorithm to generate sampling distributions, with preliminary synthetic numerical results.
Adaptive importance sampling for finite-sum optimization and sampling with decreasing step-sizes
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Importance Sampling in Expensive Finite-Sum Optimization via Contextual Bandit Methods
The paper frames subset selection in SAM optimization as a contextual bandit problem and applies the Exp4 algorithm to generate sampling distributions, with preliminary synthetic numerical results.