Robust adaptive importance sampling for normal random vectors

DOI10.1214/09-AAP595zbMATH Open1202.62106arXiv0811.1496MaRDI QIDQ983877FDOQ983877

Authors: Benjamin Jourdain, Jérôme Lelong 

Publication date: 13 July 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, 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 computation of the expectation 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. Numerical experiments confirm the performance of this estimator: in comparison with the crude Monte Carlo method, the computation time needed to achieve a given precision is divided by a factor between 3 and 15.

Full work available at URL: https://arxiv.org/abs/0811.1496

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zbMATH Keywords

sample averaging

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Stochastic approximation (62L20) Stochastic programming (90C15)

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Cited In (24)

• Approximation of Stochastic Volterra Equations with kernels of completely monotone type
• Dual pricing of American options by Wiener chaos expansion
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• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Acceleration on adaptive importance sampling with sample average approximation
• Adaptive importance sampling and control variates
• Importance sampling and statistical Romberg method
• The square root rule for adaptive importance sampling
• On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
• Adaptive importance sampling for multilevel Monte Carlo Euler method
• An efficient exponential twisting importance sampling technique for pricing financial derivatives
• Importance accelerated Robbins-Monro recursion with applications to parametric confidence limits
• Coupling importance sampling and multilevel Monte Carlo using sample average approximation
• Optimal \(L_2\)-norm empirical importance weights for the change of probability measure
• Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options
• Optimizing adaptive importance sampling by stochastic approximation
• Convergence of Markovian stochastic approximation with discontinuous dynamics
• A framework for adaptive Monte Carlo procedures
• Importance sampling for McKean-Vlasov SDEs
• Importance sampling for option pricing with feedforward neural networks
• Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
• Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
• Rare event simulation for electronic circuit design
• Convenient multiple directions of stratification

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