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...
P. Lorek, R. Nowak, Rafal Topolnicki et al.
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