Rare Event Probability Estimation Using Information Projection

Phan Ho, Anh Thu; Sawaya, Wadih; Bas, Patrick

Document type :

Autre communication scientifique (congrès sans actes - poster - séminaire...): Communication dans un congrès avec actes

Title :

Rare Event Probability Estimation Using Information Projection

Author(s) :

Phan Ho, Anh Thu [Auteur]
Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 [CRIStAL]
Sawaya, Wadih [Auteur]
Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 [CRIStAL]
Bas, Patrick [Auteur]

Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 [CRIStAL]

Conference title :

International Symposium on Information Theory and Its Applications

City :

Monterey, CA

Country :

Etats-Unis d'Amérique

Start date of the conference :

2016-10-30

HAL domain(s) :

Sciences de l'ingénieur [physics]/Traitement du signal et de l'image [eess.SP]

English abstract : [en]

This paper proposes an Importance Sampling (IS) simulation to estimate the rare event probabilities which satisfy a large deviation principle. The sampling distribution of the IS is constructed using the information ...
Show more >This paper proposes an Importance Sampling (IS) simulation to estimate the rare event probabilities which satisfy a large deviation principle. The sampling distribution of the IS is constructed using the information projection. With this construction of the sampling distribution, the importance sampling simulation is showed to be asymptotically efficient. A specific example is presented to illustrate the IS technique.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

Centre de Recherche en Informatique, Signal et Automatique de Lille (CRIStAL) - UMR 9189

Source :

Harvested from HAL

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