3 Top - Down Construction for the Gumbel Process

The problem of drawing samples from a discrete distribution can be converted into a discrete optimization problem [1, 2, 3, 4]. In this work, we show how sampling from a continuous distribution can be converted into an optimization problem over continuous space. Central to the method is a stochastic process recently described in mathematical statistics that we call the Gumbel process. We present a new construction of the Gumbel process and A∗ Sampling, a practical generic sampling algorithm that searches for the maximum of a Gumbel process using A∗ search. We analyze the correctness and convergence time of A∗ Sampling and demonstrate empirically that it makes more efficient use of bound and likelihood evaluations than the most closely related adaptive rejection sampling-based algorithms.