Robust Importance Sampling for Rare Events via Constrained Gaussian Mixtures

Paweł Lorek, Rafał Nowak, Rafał Topolnicki +2

We study estimating rare-event probabilities $I=\mathbb{P}(g(\mathbf{X})>\gamma )$ with $\mathbf{X}\sim \mathcal{N}(\mathbf{\mu },\mathbf{\Sigma })$ and general $g : \mathbb{R}^d \to \m…