Black Box Reweighting

In the last post, I wondered whether the black box reweighting method might help with the bias.

The Black Box Reweighting (BBRW) method computes weights using the observed distribution of samples, rather than the targeted distribution. (The author's website contains a link to supplementary material with further discussion.)

I ran a simple test, and the bias was slightly worse with the BBRW method, compared to standard reweighting.

The BBRW method does a fine job of solving the problem the authors intended (correct handling of a distribution that may be incompletely sampled, and lower variance of the result - the lower variance of the result was apparent in my tests), but it doesn't solve the reweighting bias issue.

The search for a method to correct reweighting bias continues...