Estimation of Structural Failure Probability Based on a Quasi Ideal Importance Sampling Simulation Combined with the Conditional Expectation (Construction of a Quasi Ideal Importance Sampling Marginal Probability Density through Recursive Simulation Procedures)

Quasi Importance Sampling

There arise two problems when the expectation of some function with respect to a nonuniform multivariate distribution has to be computed by (quasi-) Monte Carlo integration: the integrand can have singularities when the domain of the distribution is unbounded and it can be very expensive or even impossible to sample points from a general multivariate distribution. We show that importance sampli...

Dynamic importance sampling in Bayesian networks based on probability trees

In this paper we introduce a new dynamic importance sampling propagation algorithm for Bayesian networks. Importance sampling is based on using an auxiliary sampling distribution from which a set of configurations of the variables in the network is drawn, and the performance of the algorithm depends on the variance of the weights associated with the simulated configurations. The basic idea of d...

Quantization based recursive importance sampling

We investigate in this paper an alternative method to simulation based recursive importance sampling procedure to estimate the optimal change of measure for Monte Carlo simulations. We propose an algorithm which combines (vector and functional) optimal quantization with Newton-Raphson zero search procedure. Our approach can be seen as a robust and automatic deterministic counterpart of recursiv...

Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation

This paper aims to estimate the joint default probability under the structuralform model with a random environment; namely stochastic correlation. By means of a singular perturbation method, we obtain an asymptotic expansion of a two-name joint default probability under a fast mean-reverting stochastic correlation model. The leading order term in the expansion is a joint default probability wit...

On the convergence of quasi-random sampling/importance resampling