Importance Sampling, Large Deviations, and Differential Games

A heuristic that has emerged in the area of importance sampling is that the changes of measure used to prove large deviation lower bounds give good performance when used for importance sampling. Recent work, however, has suggested that the heuristic is incorrect in many situations. The perspective put forth in the present paper is that large deviation theory suggests many changes of measure, and that not all are suitable for importance sampling. In the setting of Cramér’s Theorem, the traditional interpretation of the heuristic suggests a Þxed change of distribution on the underlying independent and identically distributed summands. In contrast, we consider importance sampling schemes where the exponential change of measure is adaptive, in the sense that it depends on the historical empirical mean. The existence of asymptotically optimal schemes within this class is demonstrated. The result indicates that an adaptive change of measure, rather than a static change of measure, is what the large deviations analysis truly suggests. The proofs utilize a control-theoretic approach to large deviations, which naturally leads to the construction of asymptotically optimal adaptive schemes in terms of a limit Bellman equation. Numerical examples contrasting the adaptive and standard schemes are presented, as well as an interpretation of their different performances in terms of differential games. ∗Research of this author supported in part by the National Science Foundation (NSFDMS-0072004, NSF-ECS-9979250) and the Army Research Office (DAAD19-00-1-0549, DAAD19-02-1-0425). †Research of this author supported in part by the National Science Foundation (NSFDMS-0103669).