We investigate Bayesian alternatives to classical Monte Carlo methods for evaluating integrals. Bayesian Monte Carlo (BMC) allows the incorporation 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 challenging multidimensional integrals involved in computing marginal likelihoods of statistical models (a.k.a.\ partition functions and model evidences). 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.
Accepted by NIPS*02.
Available as ps pdf.