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Robust Adaptive Importance Sampling for Normal Random Vectors

Benjamin Jourdain 1 Jérôme Lelong 2
2 MATHFI - Financial mathematics
Inria Paris-Rocquencourt, ENPC - École des Ponts ParisTech, UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
Abstract : Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tune the optimal change of measure in the context of importance sampling for normal random vectors. Unlike stochastic approximation, which requires very fine tuning in practice, we propose to use sample average approximation and deterministic optimization techniques to devise a robust and fully automatic variance reduction methodology. The same samples are used in the sample optimization of the importance sampling parameter and in the Monte Carlo computation of the expectation of interest with the optimal measure computed in the previous step. We prove that this highly non independent Monte Carlo estimator is convergent and satisfies a central limit theorem with the optimal limiting variance. Numerical experiments confirm the performance of this estimator : in comparison with the crude Monte Carlo method, the computation time needed to achieve a given precision is divided by a factor going from 3 to 15.
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Submitted on : Monday, October 27, 2008 - 3:19:41 PM
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Benjamin Jourdain, Jérôme Lelong. Robust Adaptive Importance Sampling for Normal Random Vectors. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2009, 19 (5), pp.1687-1718. ⟨10.1214/09-AAP595⟩. ⟨hal-00334697⟩

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