Related papers: Gradient-free Importance Sampling Scheme for Effic…

Sampling from various kinds of distributions is an issue of paramount importance in statistics since it is often the key ingredient for constructing estimators, test procedures or confidence intervals. In many situations, the exact sampling…

This paper considers the classical problem of sampling with Monte Carlo methods a target rare event distribution defined by a score function that is very expensive to compute. We assume we can build using evaluations of the true score, an…

Given a sequence of observations from a discrete-time, finite-state hidden Markov model, we would like to estimate the sampling distribution of a statistic. The bootstrap method is employed to approximate the confidence regions of a…

In this paper we study simulation-based methods for estimating gradients in stochastic networks. We derive a new method of calculating weak derivative estimator using importance sampling transform, and our method has less computational cost…

Importance sampling is a variance reduction technique for efficient estimation of rare-event probabilities by Monte Carlo. In standard importance sampling schemes, the system is simulated using an a priori fixed change of measure suggested…

Statistical model checking avoids the exponential growth of states associated with probabilistic model checking by estimating properties from multiple executions of a system and by giving results within confidence bounds. Rare properties…

This paper deals with the estimation of rare event probabilities using importance sampling (IS), where an optimal proposal distribution is computed with the cross-entropy (CE) method. Although, IS optimized with the CE method leads to an…

This study presents an importance sampling formulation based on adaptively relaxing parameters from the indicator function and/or the probability density function. The formulation embodies the prevalent mathematical concept of relaxing a…

An important step in the design of autonomous systems is to evaluate the probability that a failure will occur. In safety-critical domains, the failure probability is extremely small so that the evaluation of a policy through Monte Carlo…

Rare event probability estimation is an important topic in reliability analysis. Stochastic methods, such as importance sampling, have been developed to estimate such probabilities but they often fail in high dimension. In this paper, we…

We propose a deep importance sampling method that is suitable for estimating rare event probabilities in high-dimensional problems. We approximate the optimal importance distribution in a general importance sampling problem as the…

Discrete distributions, particularly in high-dimensional deep models, are often highly multimodal due to inherent discontinuities. While gradient-based discrete sampling has proven effective, it is susceptible to becoming trapped in local…

Adaptive gradient methods have been increasingly adopted by deep learning community due to their fast convergence and reduced sensitivity to hyper-parameters. However, these methods come with limitations, such as increased memory…

The problem of finding the expected value of a statistic of a locally stable point process in a bounded region is addressed. We propose an adaptive importance sampling for solving the problem. In our proposal, we restrict the importance…

This paper reviews the gradient sampling methodology for solving nonsmooth, nonconvex optimization problems. An intuitively straightforward gradient sampling algorithm is stated and its convergence properties are summarized. Throughout this…

In this paper, we propose a stochastic search algorithm for solving general optimization problems with little structure. The algorithm iteratively finds high quality solutions by randomly sampling candidate solutions from a parameterized…

Gradient descent is one of the most widely used iterative algorithms in modern statistical learning. However, its precise algorithmic dynamics in high-dimensional settings remain only partially understood, which has limited its broader…

In this paper, we consider an importance sampling problem for a certain rare-event simulations involving the behavior of a diffusion process pertaining to a chain of distributed systems with random perturbations. We also assume that the…

The efficient importance sampling (EIS) method is a general principle for the numerical evaluation of high-dimensional integrals that uses the sequential structure of target integrands to build variance minimising importance samplers.…

We propose a method for the accurate estimation of rare event or failure probabilities for expensive-to-evaluate numerical models in high dimensions. The proposed approach combines ideas from large deviation theory and adaptive importance…