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We show that the variance of the Monte Carlo estimator that is importance sampled from an exponential family is a convex function of the natural parameter of the distribution. With this insight, we pr...
This paper is concerned with applying importance sampling as a variance reduction tool for computing extreme quantiles. A central limit theorem is derived for each of four proposed importance sampling...
We discuss using the semi-regenerative method, importance sampling, and stratification to estimate the expected cumulative reward until hitting a fixed set of states for a discrete-time Markov chain o...
We develop a strongly efficient rare-event simulation algorithm for computing the tail of the steady-state waiting time in a single server queue with regularly varying service times. Our algorithm is ...
We consider the use of importance sampling to compute expectations of functionals of Markov processes. For a class of expectations that can be characterized as positive solutions to a linear system, w...
In this article we explain some connections between Lyapunov methods and subsolutions of an associated Isaacs equation for the design of efficient importance sampling schemes. As we shall see, subsolu...
We consider the problem of estimating parameters of stochastic differential equations with discrete-time observations that are either completely or partially observed. The transition density between t...
Structural reliability methods aim at computing the probability of failure of systems with respect to some prescribed performance functions. In modern engineering such functions usually resort to ru...
We introduce new quantile estimators with adaptive importance sampling. The adaptive estimators are based on weighted samples that are neither independent nor identically distributed. Using a new l...
Case-deleted analysis is a popular method for evaluating the influence of a subset of cases on inference. The use of Monte Carlo estimation strategies in complicated Bayesian settings leads naturally ...
We present a Bayesian sampling algorithm called adaptive importance sampling or Population Monte Carlo (PMC), whose computational workload is easily parallelizable and thus has the potential to consi...
We describe a simple Importance Sampling strategy for Monte Carlo simulations based on a least squares optimization procedure. With several numerical examples, we show that such Least Squares Importa...

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