Imprecise Monte Carlo simulation and iterative importance sampling for the estimation of lower previsions

DOI10.1016/J.IJAR.2018.06.009zbMATH Open1453.60006arXiv1806.10404OpenAlexW2776703959WikidataQ129589480 ScholiaQ129589480MaRDI QIDQ1726232FDOQ1726232

Authors: Matthias C. M. Troffaes 

Publication date: 20 February 2019

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Abstract: 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 link consistency of these estimators to Glivenko-Cantelli classes, and for the sub-Gaussian case we show how the correlation structure of this process can be used to bound the bias and prove consistency. We also propose a new upper estimator, which can be used along with the standard lower estimator, in order to provide a simple confidence interval. As a case study of this framework, we then discuss how importance sampling can be exploited to provide accurate numerical estimates of lower previsions. We propose an iterative importance sampling method to drastically improve the performance of imprecise importance sampling. We demonstrate our results on the imprecise Dirichlet model.

Full work available at URL: https://arxiv.org/abs/1806.10404

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zbMATH Keywords

importance samplingMonte Carlo methodimprecise probabilitylower prevision estimation

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Monte Carlo methods (65C05) Foundations of probability theory (60A99)

Cites Work

• Upper and lower bounds for stochastic processes. Modern methods and classical problems
• Decision making under uncertainty using imprecise probabilities
• Radically Elementary Probability Theory. (AM-117)
• Importance sampling for Bayesian sensitivity analysis
• Importance sampling algorithms for the propagation of probabilities in belief networks
• Mixing exact and importance sampling propagation algorithms in dependence graphs

Cited In (6)

• Adaptive reliability analysis for rare events evaluation with global imprecise line sampling
• Improving and benchmarking of algorithms for \(\Gamma \)-maximin, \( \Gamma \)-maximax and interval dominance
• A robust Bayesian bias-adjusted random effects model for consideration of uncertainty about bias terms in evidence synthesis
• Importance sampling for Bayesian sensitivity analysis
• Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysis
• Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey

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