Chapter 6 Importance sampling
Chapter 6Importance The basicsTo movtivate our discussion consider the following situation. We want to use Monte Carlo tocompute =E[X]. There is an eventEsuch thatP(E) is small butXis small outside we run the usual Monte Carlo algorithm the vast majorityof our samples ofXwill beoutsideE. But outside ofE,Xis close to zero. Only rarely will we get a sample inEwhereXis not of the time we think of our problem as trying to compute the mean of some randomvariableX. For Importance sampling we need a little more structure. Weassume that therandom variable we want to compute the mean of is of the formf(~X) where~Xis a randomvector.
random variable we want to compute the mean of is of the form f(X~) where X~ is a random vector. We will assume that the joint distribution of X~ is absolutely continous and let p(~x) be the density. (Everything we will do also works for the case where the random vector X~ is discrete.) So we focus on computing Ef(X~) = Z f(~x)p(~x)dx (6.1)
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