Adding Effective Sample Size to Chapter 7

[lkruse]

What textbook version are you using?

⚠️ Please fill out: <2025-01-27 19:51:32-08:0>

Suggestion

Can we add effective sample size as a metric to Chapter 7? I think it would be useful in the discussion on how importance sampling is more efficient than direct Monte Carl.

@hdelecki has some Julia code which could be adopted for the book:

function ess(weights)
	# Compute the effective sample size
	weights = weights ./ sum(weights)
	return 1 / sum(weights .^ 2)
end

[lkruse]

https://www.nowozin.net/sebastian/blog/effective-sample-size-in-importance-sampling.html

[smkatz12]

Thanks for suggesting this, @lkruse @hdelecki! We just added an exercise about effective sample size that we will reference from the text. Check out exercise 7.5 here.