On the optimality and stability of exponential twisting in Monte Carlo estimation

DOI10.1109/18.179349MaRDI QIDQ4034438zbMATH OpenOpenAlexFDO

Authors John S. Sadowsky

Publication date 16 May 1993

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.179349

zbMATH Keywords

importance samplingsample meanMonte Carlo techniqueerror momentsasymptotically optimal sampling distributionoptimized exponentially twisted distributionsample variance estimatorsuniform asymptotic stability property

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Nonparametric estimation (62G05) Monte Carlo methods (65C05) Large deviations (60F10)

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Cited in

(12)

• On the efficient simulation of the left-tail of the sum of correlated log-normal variates
• Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
• On Monte Carlo estimation of large deviations probabilities
• Counterexamples in importance sampling for large deviations probabilities
• On the generalization of the hazard rate twisting-based simulation approach
• Optimization of computer simulation models with rare events
• Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
• On asymptotically efficient simulation of large deviation probabilities
• Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
• Ensuring finite moments in Monte Carlo simulations via iterated ex post facto sampling
• Computable exponential bounds for screened estimation and simulation
• Dynamic importance sampling for uniformly recurrent Markov chains

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