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math.ST2026
Importance sampling for Sobol' indices estimation
Haythem Boucharif, Jérôme Morio, Paul Rochet
We propose a new importance sampling framework for the estimation and analysis of Sobol' indices. We focus on the estimation of the conditional second-moment quantity underlying th…
math.ST2025
Phase transition for conditional covariance matrices estimated by importance sampling, and implications for cross-entropy schemes in high dimension
Jason Beh, Jerome Morio, Florian Simatos
Motivated by the estimation of covariance matrices by importance sampling arising in the cross-entropy (CE) algorithm, we study a random matrix model $\hat Σ= {\bf X} L {\bf X}^\t…
math.ST2025
Affine invariant interacting Langevin dynamics in Markov chain importance sampling for rare event estimation
Jason Beh, Jérôme Morio, Florian Simatos +1
This work considers the framework of Markov chain importance sampling~(MCIS), in which one employs a Markov chain Monte Carlo~(MCMC) scheme to sample particles approaching the opti…