Lost Relatives of the Gumbel Trick

Matej Balog, N Tripuraneni, Zoubin Ghahramani & Adrian Weller
The Gumbel trick is a method to sample from a discrete probability distribution, or to estimate its normalizing partition function. The method re- lies on repeatedly applying a random perturbation to the distribution in a particular way, each time solving for the most likely configuration. We derive an entire family of related methods, of which the Gumbel trick is one member, and show that the new methods have superior properties in several settings with minimal...
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