Related papers: Dynamic importance sampling for uniformly recurren…
In this paper we develop the large deviations principle and a rigorous mathematical framework for asymptotically efficient importance sampling schemes for general, fully dependent systems of stochastic differential equations of slow and…
Many random processes can be simulated as the output of a deterministic model accepting random inputs. Such a model usually describes a complex mathematical or physical stochastic system and the randomness is introduced in the input…
Importance sampling is a popular method for efficient computation of various properties of a distribution such as probabilities, expectations, quantiles etc. The output of an importance sampling algorithm can be represented as a weighted…
We propose a Monte Carlo algorithm to sample from high dimensional probability distributions that combines Markov chain Monte Carlo and importance sampling. We provide a careful theoretical analysis, including guarantees on robustness to…
Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applications. Despite its effectiveness, the performance of IS is…
Driven by applications in telecommunication networks, we explore the simulation task of estimating rare event probabilities for tandem queues in their steady state. Existing literature has recognized that importance sampling methods can be…
We propose a method to efficiently integrate truncated probability densities. The method uses Markov chain Monte Carlo method to sample from a probability density matching the function being integrated. The required normalisation or…
Importance sampling is a Monte Carlo technique for efficiently estimating the likelihood of rare events by biasing the sampling distribution towards the rare event of interest. By drawing weighted samples from a learned proposal…
We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…
Deep neural network training spends most of the computation on examples that are properly handled, and could be ignored. We propose to mitigate this phenomenon with a principled importance sampling scheme that focuses computation on…
Decision making for dynamic systems is challenging due to the scale and dynamicity of such systems, and it is comprised of decisions at strategic, tactical, and operational levels. One of the most important aspects of decision making is…
This paper provides an introductory overview of how one may employ importance sampling effectively as a tool for solving stochastic optimization formulations incorporating tail risk measures such as Conditional Value-at-Risk. Approximating…
Importance sampling is a popular variance reduction method for Monte Carlo estimation, where a notorious question is how to design good proposal distributions. While in most cases optimal (zero-variance) estimators are theoretically…
Importance sampling (IS) is a Monte Carlo technique that relies on weighted samples, simulated from a proposal distribution, to estimate intractable integrals. The quality of the estimators improves with the number of samples. However, for…
We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for these problems in the small noise limit. With multiscale…
Improving efficiency of importance sampler is at the center of research in Monte Carlo methods. While adaptive approach is usually difficult within the Markov Chain Monte Carlo framework, the counterpart in importance sampling can be…
We develop a theoretical framework for studying numerical estimation of lower previsions, generally applicable to two-level Monte Carlo methods, importance sampling methods, and a wide range of other sampling methods one might devise. We…
A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…
Adaptive Monte Carlo schemes developed over the last years usually seek to ensure ergodicity of the sampling process in line with MCMC tradition. This poses constraints on what is possible in terms of adaptation. In the general case…
We study approximations of evolving probability measures by an interacting particle system. The particle system dynamics is a combination of independent Markov chain moves and importance sampling/resampling steps. Under global regularity…