Importance sampling for multi-constraints rare event probability

DOI10.1007/978-1-4939-2104-1_11zbMATH Open1328.62329arXiv1401.3257OpenAlexW2115307891MaRDI QIDQ5261307FDOQ5261307

Authors: Virgile Caron 

Publication date: 3 July 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: Improving Importance Sampling estimators for rare event probabilities requires sharp approx- imations of the optimal density leading to a nearly zero-variance estimator. This paper presents a new way to handle the estimation of the probability of a rare event defined as a finite intersection of subset. We provide a sharp approximation of the density of long runs of a random walk condi- tioned by multiples constraints, each of them defined by an average of a function of its summands as their number tends to infinity.

Full work available at URL: https://arxiv.org/abs/1401.3257

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Estimation in multivariate analysis (62H12) Sums of independent random variables; random walks (60G50)

Cited In (13)

• Importance sampling the union of rare events with an application to power systems analysis
• Bounded Relative Error Importance Sampling and Rare Event Simulation
• Importance Sampling, Large Deviations, and Differential Games
• Rare-event probability estimation with conditional Monte Carlo
• Chance-constrained problems and rare events: an importance sampling approach
• Multicanonical MCMC for sampling rare events: an illustrative review
• Consensus-based rare event estimation
• Deep Importance Sampling Using Tensor Trains with Application to a Priori and a Posteriori Rare Events
• Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
• Long runs under a conditional limit distribution
• Minimization of a class of rare event probabilities and buffered probabilities of exceedance
• Small variance estimators for rare event probabilities
• Rare events in random geometric graphs

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