Rare Event Probability Estimation Using Information Projection
Résumé
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.
Origine : Fichiers produits par l'(les) auteur(s)
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