Robust adaptive importance sampling for normal random vectors (Q983877): Difference between revisions

From the authors' summary: We present an alternative to stochastic approximation to tune the optimal change of measure in the context of importance sampling for normal random vectors. Unlike stochastic approximation, which requires very fine tuning in practice, we propose to use sample average approximation and deterministic optimization techniques to devise a robust and fully automatic variance reduction methodology. The same samples are used in the sample optimization of the importance sampling parameter and in the Monte Carlo computations of the expectations of interest with the optimal measure computed in the previous step. We prove that this highly dependent Monte Carlo estimator is convergent and satisfies a central limit theorem with the optimal limiting variance.