Large deviations for weighted empirical measures arising in importance sampling

Henrik Hult and Pierre Nyquist

Stochastic Processes and their Applications, 2016, vol. 126, issue 1, 138-170

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.

Keywords: Large deviations; Empirical measures; Importance sampling; Monte Carlo (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spa.2015.08.002

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