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International Journal for Uncertainty Quantification
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ISSN Imprimir: 2152-5080
ISSN En Línea: 2152-5099

Acceso abierto

International Journal for Uncertainty Quantification

DOI: 10.1615/Int.J.UncertaintyQuantification.2019029511
pages 311-319

A WEIGHT-BOUNDED IMPORTANCE SAMPLING METHOD FOR VARIANCE REDUCTION

Tenchao Yu
School of Mathematical Sciences and Institute of Natural Sciences, Shanghai Jiao Tong University, 800 Dongchuan Rd, Shanghai 200240, China
Linjun Lu
School of Naval Architecture, Ocean and Civil Engineering, Shanghai Jiao Tong University, Shanghai 200240, China
Jinglai Li
Institute of Natural Sciences and School of Mathematical Sciences Shanghai Jiaotong University, Shanghai 200240, China

SINOPSIS

Importance sampling (IS) is an important technique to reduce the estimation variance in Monte Carlo simulations. In many practical problems, however, the use of the IS method may result in unbounded variance, and thus fail to provide reliable estimates. To address the issue, we propose a method which can prevent the risk of unbounded variance; the proposed method performs the standard IS for the integral of interest in a region only in which the IS weight is bounded and we use the result as an approximation to the original integral. It can be verified that the resulting estimator has a finite variance. Moreover, we also provide a normality test based method to identify the region with bounded IS weight (termed as the safe region) from the samples drawn from the standard IS distribution. With numerical examples, we demonstrate that the proposed method can yield a rather reliable estimate when the standard IS fails, and it also outperforms the defensive IS, a popular method to prevent unbounded variance.

REFERENCIAS

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  4. Glasserman, P., Monte Carlo Methods in Financial Engineering, vol. 53, New York: Springer Science & Business Media, 2013.

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