A note on shifting distributions via Poisson races

Source abstract

This expository note is about simulating a target distribution $Q$ from observations of a proposal distribution $P$. In the model suggested by Harsha, Jain, McAllester and Radhakrishnan, we observe an infinite sequence of i.i.d. samples $X_1,X_2,\ldots$ from $P$. The goal is to find some index $I \in \{1,2,\ldots\}$ such that $X_I$ is distributed like $Q$ while minimizing $\mathbb{E} \log I$. Following the Poisson-race approach developed by Maddison, Li and El Gamal, and others, this note shows that if $D(Q||P) < \infty$ then there is a $P$ to $Q$ simulator $I$ such that $\mathbb{E} [\log I] \leq D(Q||P) + 1.45 \|Q-P\|_1$. In the other direction, for every $P$ to $Q$ simulator $I$, the cost is at least $\mathbb{E}[\log I] \geq \frac{1}{2} \max \{ D(Q||P), \|Q-P\|_1 \}$.