P. Lorek

Robust Importance Sampling for Rare Events via Constrained Gaussian Mixtures

We study estimating rare-event probabilities $I = \mathbb{P}(g(\mathbf{X})>\gamma)$ with $\mathbf{X} \sim \mathcal{N}(\boldsymbol{\mu}, \boldsymbol{\Sigma})$ and general $g : \mathbb{R}^d \to \mathbb{R}$. We address this problem through importance sampling, and propose a framework that substantially improves efficiency...