Blog

Notes on mathematics, statistics, books, music, and miscellaneous thoughts.

Farid Belkahia, Main, henné sur peau, 1980.

Origins of the Asymptotic Bias of SNIS

A short note on the known \(\mathcal{O}(1/N)\) asymptotic bias formula for self-normalised importance sampling: where we could find it first written down, why turning it into…

Apr 10, 2026

The Angel Looking Back

A review of Aurélien Bellanger’s Le Vingtième Siècle (Gallimard, 2023): a novel in 49 fragments about Walter Benjamin, the catastrophe of the twentieth century, and the…

Mar 27, 2026

Regenerative Rejection Sampling

Notes on regenerative rejection sampling, a method that replaces fixed-sample stopping with renewal-threshold stopping and achieves \(O(1/N^2)\) bias. My way of making sense…

Mar 23, 2026

Wasserstein Gradient Flows: Working Out the KL Divergence Gradient

optimal transport

gradient flows

KL divergence

An attempt to carefully work through the Wasserstein gradient of the KL divergence, its connection to the heat equation, and some thoughts on statistical optimal transport.

Mar 18, 2026

Categories

Origins of the Asymptotic Bias of SNIS

The Angel Looking Back

Regenerative Rejection Sampling

Wasserstein Gradient Flows: Working Out the KL Divergence Gradient