Large deviations for weighted empirical measures arising in importance sampling

H. Hult, P. Nyquist

Research output: Contribution to journalArticleAcademicpeer-review

2 Citations (Scopus)

Abstract

In this paper the efficiency of an importance sampling algorithm is studied by means of large deviations for the associated weighted empirical measure. The main result, stated as a Laplace principle for these weighted empirical measures, can be viewed as an extension of Sanov's theorem. The main theorem is used to quantify the performance of an importance sampling algorithm over a collection of subsets of a given target set as well as quantile estimates. The analysis yields an estimate of the sample size needed to reach a desired precision and of the reduction in cost compared to standard Monte Carlo.

Original languageEnglish
Pages (from-to)138-170
Number of pages33
JournalStochastic Processes and their Applications
Volume126
Issue number1
DOIs
Publication statusPublished - 1 Jan 2016
Externally publishedYes

Keywords

  • 65C05
  • 68U20
  • MSC primary 60F10
  • secondary 60G57

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