Efficient importance sampling for large sums of independent and identically distributed random variables

Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Gerardo Rubino, Raúl Tempone

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Abstract

We discuss estimating the probability that the sum of nonnegative independent and identically distributed random variables falls below a given threshold, i.e., P(∑i=1NXi≤γ), via importance sampling (IS). We are particularly interested in the rare event regime when N is large and/or γ is small. The exponential twisting is a popular technique for similar problems that, in most cases, compares favorably to other estimators. However, it has some limitations: (i) It assumes the knowledge of the moment-generating function of Xi and (ii) sampling under the new IS PDF is not straightforward and might be expensive. The aim of this work is to propose an alternative IS PDF that approximately yields, for certain classes of distributions and in the rare event regime, at least the same performance as the exponential twisting technique and, at the same time, does not introduce serious limitations. The first class includes distributions whose probability density functions (PDFs) are asymptotically equivalent, as x→ 0 , to bxp, for p> - 1 and b> 0. For this class of distributions, the Gamma IS PDF with appropriately chosen parameters retrieves approximately, in the rare event regime corresponding to small values of γ and/or large values of N, the same performance of the estimator based on the use of the exponential twisting technique. In the second class, we consider the Log-normal setting, whose PDF at zero vanishes faster than any polynomial, and we show numerically that a Gamma IS PDF with optimized parameters clearly outperforms the exponential twisting IS PDF. Numerical experiments validate the efficiency of the proposed estimator in delivering a highly accurate estimate in the regime of large N and/or small γ.

Original languageEnglish
Article number79
JournalStatistics and Computing
Volume31
Issue number6
Early online date11 Oct 2021
DOIs
Publication statusPublished - Nov 2021

Keywords

  • Exponential twisting
  • Gamma IS PDF
  • Importance sampling
  • Rare event

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Computational Theory and Mathematics

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