  Probability density function estimation with weighted samples is the main
foundation of all adaptive importance sampling algorithms. Classically, a
target distribution is approximated either by a non-parametric model or within
a parametric family. However, these models suffer from the curse of
dimensionality or from their lack of flexibility. In this contribution, we
suggest to use as the approximating model a distribution parameterised by a
variational autoencoder. We extend the existing framework to the case of
weighted samples by introducing a new objective function. The flexibility of
the obtained family of distributions makes it as expressive as a non-parametric
model, and despite the very high number of parameters to estimate, this family
is much more efficient in high dimension than the classical Gaussian or
Gaussian mixture families. Moreover, in order to add flexibility to the model
and to be able to learn multimodal distributions, we consider a learnable prior
distribution for the variational autoencoder latent variables. We also
introduce a new pre-training procedure for the variational autoencoder to find
good starting weights of the neural networks to prevent as much as possible the
posterior collapse phenomenon to happen. At last, we explicit how the resulting
distribution can be combined with importance sampling, and we exploit the
proposed procedure in existing adaptive importance sampling algorithms to draw
points from a target distribution and to estimate a rare event probability in
high dimension on two multimodal problems.
