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stat.ME2025
New Bounds and Truncation Boundaries for Importance Sampling
Yijuan Liang, Guangxin Jiang, Michael C. Fu
Importance sampling (IS) is a technique that enables statistical estimation of output performance at multiple input distributions from a single nominal input distribution. IS is co…
stat.ME2021★ 2 cited
Adaptive Importance Sampling for Efficient Stochastic Root Finding and Quantile Estimation
Shengyi He, Guangxin Jiang, Henry Lam +1
In solving simulation-based stochastic root-finding or optimization problems that involve rare events, such as in extreme quantile estimation, running crude Monte Carlo can be proh…