Importance Sampling Estimate Mean

Problem

With samples x_i drawn from a proposal q and target density proportional to p, the importance sampling estimate of E_p[f] is mean_i f(x_i) p(x_i) / q(x_i).

Given the f values, the p values, and the q values, return the estimate.

Hint

Each sample is reweighted by the density ratio.

Test cases

case 1

in: [[1,2],[0.5,0.5],[0.25,0.25]]

expected: 3

case 2

in: [[1],[2],[1]]

expected: 2

case 3

in: [[0,4],[0.1,0.2],[0.05,0.1]]

expected: 4

Starter codePython

def importance_sampling_estimate_mean(f_values, p_values, q_values):
    # Your code here
    pass

3 test cases · run your code against them in the editor