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math.NA2022
Fluctuations of Rare Event Simulation with Monte Carlo Splitting in the Small Noise Asymptotics
Frédéric Cérou, Sofiane Martel, Mathias Rousset
Diffusion processes with small noise conditioned to reach a target set are considered. The AMS algorithm is a Monte Carlo method that is used to sample such rare events by iterativ…
math.NA2022
Entropy minimizing distributions are worst-case optimal importance proposals
Frédéric Cérou, Patrick Héas, Mathias Rousset
Importance sampling of target probability distributions belonging to a given convex class is considered. Motivated by previous results, the cost of importance sampling is quantifie…