On importance sampling with mixtures for random walks with heavy tails

DOI10.1145/2133390.2133392MaRDI QIDQ4635184zbMATH OpenOpenAlexFDO

Authors Henrik Hult, Jens Svensson

Publication date 16 April 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0909.3333

zbMATH Keywords

heavy tailsimportance samplingrandom walksrare event simulation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Sums of independent random variables; random walks (60G50)

Abstract: Importance sampling algorithms for heavy-tailed random walks are considered. Using a specification with algorithms based on mixtures of the original distribution with some other distribution, sufficient conditions for obtaining bounded relative error are presented. It is proved that mixture algorithms of this kind can achieve asymptotically optimal relative error. Some examples of mixture algorithms are presented, including mixture algorithms using a scaling of the original distribution, and the bounds of the relative errors are calculated. The algorithms are evaluated numerically in a simple setting.

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