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Importance sampling is a popular variance reduction method for Monte Carlo estimation, where a notorious question is how to design good proposal distributions.
“Stochastic control for small noise intensities”
Wendell. Fleming · 1971
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“Importance sampling in the Monte Carlo study of sequential tests”
David Siegmund · 1976
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“Simulating ratios of normalizing constants via a simple identity: a theoretical exploration”
Xiao-Li Meng and Wing Wong · 1996
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“Counterexamples in importance sampling for large deviations probabilities”
Paul Glasserman and Yashan Wang · 1997
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“Simulating normalizing constants: From importance sampling to bridge sampling to path sampling”
Andrew Gelman and Xiao-Li Meng · 1998
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“Some Inequalities For The Kullback-Leibler And χ 2 \chi^{2} -Distances In Information Theory And Applications”
Sever Dragomir and V Gluscevic · 2000
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“Safe and effective importance sampling”
Art Owen and Yi Zhou · 2000
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“An introduction to sequential Monte Carlo methods”
Arnaud Doucet, Nando De and Neil Gordon · 2001
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“On choosing and bounding probability metrics”
Alison Gibbs and Francis Su · 2002
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“Importance sampling, large deviations, and differential games”
Paul Dupuis and Hui Wang · 2004
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“Metastability in reversible diffusion processes II: precise asymptotics for small eigenvalues”
Anton Bovier, V“’eronique Gayrard and Markus Klein · 2005
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“Another look at rejection sampling through importance sampling”
Yuguo Chen · 2005
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“A tutorial on the cross-entropy method”
Pieter-Tjerk De, Dirk Kroese, Shie Mannor and Reuven Rubinstein · 2005
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“Importance sampling for portfolio credit risk”
Paul Glasserman and Jingyi Li · 2005
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“Curse-of-dimensionality revisited: Collapse of importance sampling in very high-dimensional systems”
Bo Li, Thomas Bengtsson and Peter Bickel · 2005
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“Pattern recognition and machine learning”
Christopher Bishop · 2006
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“Controlled Markov processes and viscosity solutions”
Wendell. Fleming and Halil Soner · 2006
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“Stochastic Simulation: Algorithms and Analysis”
S Asmussen and Peter. Glynn · 2007
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“Subsolutions of an Isaacs equation and efficient schemes for importance sampling”
Paul Dupuis and Hui Wang · 2007
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“Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems”
Thomas Bengtsson, Peter Bickel and Bo Li · 2008
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“Sharp failure rates for the bootstrap particle filter in high dimensions”
Peter Bickel, Bo Li and Thomas Bengtsson · 2008
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“Monte Carlo strategies in scientific computing”
Jun Liu · 2008
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“Obstacles to high-dimensional particle filtering”
Chris Snyder, Thomas Bengtsson, Peter Bickel and Jeff Anderson · 2008
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“Large Deviations Techniques and Applications”
Amir Dembo and Ofer Zeitouni · 2009
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“Large deviations and importance sampling for systems of slow-fast motion”
Konstantinos Spiliopoulos · 2013
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“Optimal control of multiscale systems using reduced-order models”
Carsten Hartmann, Juan. Latorre, Grigorios. Pavliotis and Wei Zhang · 2014
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“When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method”
Fima Klebaner and Robert Liptser · 2014
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“On Improved Bounds for Probability Metrics and f f -Divergences”
Igal Sason · 2014
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“Applications of the cross-entropy method to importance sampling and optimal control of diffusions”
Wei Zhang et al · 2014
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Huy“ˆen Pham · 2009
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Gabriel Stoltz and Mathias Rousset · 2010
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S Asmussen, Paul Dupuis, Reuven Rubinstein and Hui Wang · 2011
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“Estimating the normalized Jensen functional”
Flavia Mitroi · 2011
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“Elements of Information Theory”
Thomas Cover and Joy Thomas · 2012
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“Importance sampling for multiscale diffusions”
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Sergios Agapiou, Omiros Papaspiliopoulos, Daniel Sanz-Alonso and Andrew. Stuart · 2015
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“Escaping from an attractor: Importance sampling and rest points I”
Paul Dupuis, Konstantinos Spiliopoulos and Xiang Zhou · 2015
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“Tight bounds for symmetric divergence measures and a new inequality relating f f -divergences”
Igal Sason · 2015
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“Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions”
Konstantinos Spiliopoulos · 2015
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“Model reduction algorithms for optimal control and importance sampling of diffusions”
Carsten Hartmann, Christof Sch“”utte and Wei Zhang · 2016
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“Variational characterization of free energy: Theory and algorithms”
Carsten Hartmann, Lorenz Richter, Christof Sch“”utte and Wei Zhang · 2017
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“Why does Monte Carlo fail to work properly in high-dimensional optimization problems?”
Boris Polyak and Pavel Shcherbakov · 2017
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“The sample size required in importance sampling”
Sourav Chatterjee and Persi Diaconis · 2018
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“Computation of extreme heat waves in climate models using a large deviation algorithm”
Francesco Ragone, Jeroen Wouters and Freddy Bouchet · 2018
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“Importance sampling and necessary sample size: an information theory approach”
Daniel Sanz-Alonso · 2018
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“Variational approach to rare event simulation using least-squares regression”
Carsten Hartmann, Omar Kebiri, Lara Neureither and Lorenz Richter · 2019
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Nikolas N“”usken and Lorenz Richter · 2020
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“VarGrad: A Low-Variance Gradient Estimator for Variational Inference”
Lorenz Richter et al · 2020
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