Name
Abstract | ||
|---|---|---|
This paper proposes an Importance Sampling (IS) simulation to estimate the rare event probabilities which satisfy a large deviation principle. The sampling distribution of the IS is constructed using the information projection. With this construction of the sampling distribution, the importance sampling simulation is showed to be asymptotically efficient. A specific example is presented to illustrate the IS technique. |
Year | Venue | Keywords |
|---|---|---|
2016 | 2016 International Symposium on Information Theory and Its Applications (ISITA) | sampling distribution,IS simulation,importance sampling,information projection,rare event probability estimation |
Field | DocType | ISBN |
Sampling distribution,Slice sampling,Rejection sampling,Importance sampling,Random variable,Mathematical optimization,Sampling design,Computer science,Algorithm,Theoretical computer science,Information projection,Rate function | Conference | 978-1-5090-1917-5 |
Citations | PageRank | References |
0 | 0.34 | 1 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Anh Thu Phan Ho | 1 | 0 | 0.34 |
| Wadih Sawaya | 2 | 25 | 6.35 |
| Patrick Bas | 3 | 121 | 16.17 |