Aggregating independently computed sub-sample inferences is a well-known challenge in large-scale Bayesian computation, federated learning, and opinion pooling. The core problem is to approximate a distribution whose density is proportional to a product of individual densities. We propose Product Monte Carlo (PMC), an algorithm for computing arbitrary expectations under a product of densities using only Monte Carlo draws from individual densities. We turn the intractable product expectation into a regression problem by expressing it through a family of computable conditional expectations. Besides the point estimate, our fully Bayesian regression formulation provides coherent uncertainty quantification and principled diagnostics. We establish theoretical guarantees on consistency and characterize convergence rates for the PMC estimator. Across simulated and real-data experiments varying the number, dimensionality, and heterogeneity of the component distributions, PMC achieves higher estimation accuracy, better-calibrated uncertainty coverage, and improved scalability at a lower computational cost than existing methods. In addition, PMC requires no density evaluation, making it applicable to simulation-based inference, as we demonstrate in an application with protein images.
AI 速览：借鉴调查抽样中的多层回归与后分层（MRP）思想，将高维重要性加权拆解为两个一维建模问题，提出后分层重要性采样（PIS）以改善估计精度与不确定性量化。
Importance sampling is a building block of modern statistical computing, but the weighted estimate is prone to high or infinite variance. Moreover, its empirical standard error is often unreliable, leaving importance sampling without practical uncertainty quantification. Motivated by multilevel regression and poststratification (MRP) in survey sampling, we propose post-stratified importance sampling (PIS) for estimating target expectations from proposal draws. PIS reformulates arbitrarily high-dimensional weighting into two one-dimensional probabilistic modeling problems: regression for the conditional mean given the importance ratio and marginal density estimation for the importance ratio. Different modeling choices yield a family of PIS estimators, encompassing ordinary importance sampling as a special case. We develop a model-based implementation that combines one-dimensional Gaussian process regression for the conditional mean and score-informed heavy-tailed density estimation for the marginal law, using both the observed weights and the available density evaluations. We study the oracle gains of PIS and establish consistency under general and model-specific conditions. Simulations and applications to cross-validation demonstrate improvements in estimation accuracy and uncertainty quantification.