  Most current sampling algorithms for high-dimensional distributions are based
on MCMC techniques and are approximate in the sense that they are valid only
asymptotically. Rejection sampling, on the other hand, produces valid samples,
but is unrealistically slow in high-dimension spaces. The OS* algorithm that we
propose is a unified approach to exact optimization and sampling, based on
incremental refinements of a functional upper bound, which combines ideas of
adaptive rejection sampling and of A* optimization search. We show that the
choice of the refinement can be done in a way that ensures tractability in
high-dimension spaces, and we present first experiments in two different
settings: inference in high-order HMMs and in large discrete graphical models.
