An importance sampling method with applications to rare event probability

Yue Qiu; Hong Zhou; Yue Qin Wu

doi:10.1109/GSIS.2007.4443499

An importance sampling method with applications to rare event probability

Yue Qiu^*
, Hong Zhou
, Yue Qin Wu

^*Corresponding author for this work

School of Economics and Management

Beihang University
IEEE

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

11 Scopus citations

Abstract

It usually takes long time to simulate rare event using traditional Monte Carlo method, while importance sampling techniques can effectively reduce the simulation time and improve simulation efficiency. A new implementation for importance sampling method to estimate rare event probability in simulation models is proposed in this paper, in which the classical exponential change of measure is adopted to construct the family of importance sampling distributions, and the optimal importance sampling distribution is obtained by minimizing the variance of importance sampling estimator. Numerical experiment has been conducted and the result indicates that the method can effectively estimate the rare event probability.

Original language	English
Title of host publication	Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007
Pages	1381-1385
Number of pages	5
DOIs	https://doi.org/10.1109/GSIS.2007.4443499
State	Published - 2007
Event	2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007 - Nanjing, China Duration: 18 Nov 2007 → 20 Nov 2007

Publication series

Name	Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007

Conference

Conference	2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007
Country/Territory	China
City	Nanjing
Period	18/11/07 → 20/11/07

Access to Document

10.1109/GSIS.2007.4443499

Cite this

Qiu, Y., Zhou, H., & Wu, Y. Q. (2007). An importance sampling method with applications to rare event probability. In Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007 (pp. 1381-1385). Article 4443499 (Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007). https://doi.org/10.1109/GSIS.2007.4443499

@inproceedings{9a25ed9bb47f4eaaa0d7f713417eae23,

title = "An importance sampling method with applications to rare event probability",

abstract = "It usually takes long time to simulate rare event using traditional Monte Carlo method, while importance sampling techniques can effectively reduce the simulation time and improve simulation efficiency. A new implementation for importance sampling method to estimate rare event probability in simulation models is proposed in this paper, in which the classical exponential change of measure is adopted to construct the family of importance sampling distributions, and the optimal importance sampling distribution is obtained by minimizing the variance of importance sampling estimator. Numerical experiment has been conducted and the result indicates that the method can effectively estimate the rare event probability.",

author = "Yue Qiu and Hong Zhou and Wu, \{Yue Qin\}",

year = "2007",

doi = "10.1109/GSIS.2007.4443499",

language = "英语",

isbn = "1424412943",

series = "Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007",

pages = "1381--1385",

booktitle = "Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007",

note = "2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007 ; Conference date: 18-11-2007 Through 20-11-2007",

}

Qiu, Y, Zhou, H & Wu, YQ 2007, An importance sampling method with applications to rare event probability. in Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007., 4443499, Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007, pp. 1381-1385, 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007, Nanjing, China, 18/11/07. https://doi.org/10.1109/GSIS.2007.4443499

An importance sampling method with applications to rare event probability. / Qiu, Yue; Zhou, Hong; Wu, Yue Qin.
Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007. 2007. p. 1381-1385 4443499 (Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - An importance sampling method with applications to rare event probability

AU - Qiu, Yue

AU - Zhou, Hong

AU - Wu, Yue Qin

PY - 2007

Y1 - 2007

N2 - It usually takes long time to simulate rare event using traditional Monte Carlo method, while importance sampling techniques can effectively reduce the simulation time and improve simulation efficiency. A new implementation for importance sampling method to estimate rare event probability in simulation models is proposed in this paper, in which the classical exponential change of measure is adopted to construct the family of importance sampling distributions, and the optimal importance sampling distribution is obtained by minimizing the variance of importance sampling estimator. Numerical experiment has been conducted and the result indicates that the method can effectively estimate the rare event probability.

AB - It usually takes long time to simulate rare event using traditional Monte Carlo method, while importance sampling techniques can effectively reduce the simulation time and improve simulation efficiency. A new implementation for importance sampling method to estimate rare event probability in simulation models is proposed in this paper, in which the classical exponential change of measure is adopted to construct the family of importance sampling distributions, and the optimal importance sampling distribution is obtained by minimizing the variance of importance sampling estimator. Numerical experiment has been conducted and the result indicates that the method can effectively estimate the rare event probability.

UR - https://www.scopus.com/pages/publications/50249155930

U2 - 10.1109/GSIS.2007.4443499

DO - 10.1109/GSIS.2007.4443499

M3 - 会议稿件

AN - SCOPUS:50249155930

SN - 1424412943

SN - 9781424412945

T3 - Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007

SP - 1381

EP - 1385

BT - Proceedings of 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007

T2 - 2007 IEEE International Conference on Grey Systems and Intelligent Services, GSIS 2007

Y2 - 18 November 2007 through 20 November 2007

ER -

An importance sampling method with applications to rare event probability

Abstract

Publication series

Conference

Access to Document

Other files and links

Fingerprint

Cite this