Related papers: Dynamic importance sampling for uniformly recurren…
Sampling rare events in metastable dynamical systems is often a computationally expensive task and one needs to resort to enhanced sampling methods such as importance sampling. Since we can formulate the problem of finding optimal…
In this paper, we propose an efficient importance sampling algorithm for rare event simulation under copula models. In the algorithm, the derived optimal probability measure is based on the criterion of minimizing the variance of the…
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…
We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the system dynamics is expensive to compute, standard sampling…
We investigate in this paper an alternative method to simulation based recursive importance sampling procedure to estimate the optimal change of measure for Monte Carlo simulations. We propose an algorithm which combines (vector and…
We introduce and implement an importance-sampling Monte Carlo algorithm to study systems of globally-coupled oscillators. Our computational method efficiently obtains estimates of the tails of the distribution of various measures of…
To efficiently evaluate system reliability based on Monte Carlo simulation, importance sampling is used widely. The optimal importance sampling density was derived in 1950s for the deterministic simulation model, which maps an input to an…
Adaptive importance sampling is a class of techniques for finding good proposal distributions for importance sampling. Often the proposal distributions are standard probability distributions whose parameters are adapted based on the…
Importance sampling is a Monte Carlo method which designs estimators of expectations under a target distribution using weighted samples from a proposal distribution. When the target distribution is complex, such as multimodal distributions…
Variational inference approximates the posterior distribution of a probabilistic model with a parameterized density by maximizing a lower bound for the model evidence. Modern solutions fit a flexible approximation with stochastic gradient…
This paper deals with the Monte-Carlo methods for evaluating expectations of functionals of solutions to McKean-Vlasov Stochastic Differential Equations (MV-SDE) with drifts of super-linear growth. We assume that the MV-SDE is approximated…
Markov chain Monte Carlo is a widely-used technique for generating a dependent sequence of samples from complex distributions. Conventionally, these methods require a source of independent random variates. Most implementations use…
Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…
Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…
We study a variance reduction strategy based on control variables for simulating the averaged macroscopic behavior of a stochastic slow-fast system. We assume that this averaged behavior can be written in terms of a few slow degrees of…
In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters as the number of levels, which enables us to compute the…
We introduce a new Markov chain Monte Carlo (MCMC) sampler called the Markov Interacting Importance Sampler (MIIS). The MIIS sampler uses conditional importance sampling (IS) approximations to jointly sample the current state of the Markov…
We propose an adaptive importance sampling scheme for Gaussian approximations of intractable posteriors. Optimization-based approximations like variational inference can be too inaccurate while existing Monte Carlo methods can be too slow.…
Adaptive importance sampling is a powerful tool to sample from complicated target densities, but its success depends sensitively on the initial proposal density. An algorithm is presented to automatically perform the initialization using…
Markov chain Monte Carlo methods are central in computational statistics, and typically rely on detailed balance to ensure invariance with respect to a target distribution. Although straightforward to construct by Metropolization, this can…