STATISTICS SEMINAR SERIES :: Efficient Importance Sampling for Events of Moderate Deviations with Applicartions

Event Details
  • Date/Time:
    • Wednesday October 19, 2005
      11:00 am - 12:00 am
  • Location: Groseclose 303
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Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: STATISTICS SEMINAR SERIES :: Efficient Importance Sampling for Events of Moderate Deviations with Applicartions

Full Summary: STATISTICS SEMINAR SERIES :: Efficient Importance Sampling for Events of Moderate Deviations with Applicartions

After a brief introduction of importance sampling, we propose a method for finding the alternative distribution in the family of normal random variables. The alternative distribution is optimal in the sense that the asymptotic variance is minimized for estimating tail probabilities of asymptotically normal statistics. Our contribution to importance sampling is three-fold. To begin with, we obtain an explicit expression for the mean of the optimal alternative distribution and the expression motivates a recursive approximation algorithm. Secondly, a new multidimensional exponential tilting formula is presented. Lastly, a conservative estimator of the variance is given to facilitate a quick comparison among different stratified sampling schemes in conjunction with importance sampling. Several numerical examples illustrating the efficacy of the proposed method are also included. These results indicate that the proposed method is considerably more efficient than the method based on large deviations theory and the efficiency gain is more significant in higher dimensions.

This talk is based on a joint work with Inchi Hu.

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School of Industrial and Systems Engineering (ISYE)

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  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:37am
  • Last Updated: Oct 7, 2016 - 9:52pm