On the Optimality and Stability of Exponential Twisting in Monte Carlo Estimation

IEEE Transactions on Information Theory

Volumn 39, Issue 1, 1993, Pages 119-128

  Sadowsky, John S ^a  

^a PURDUE UNIVERSITY   (United States)

Author keywords

importanee sampling; large deviations; Monte Carlo

Indexed keywords

OPTIMIZATION; RANDOM PROCESSES; SAMPLING;

ASYMPTOTICALLY OPTIMAL SAMPLING; EXPONENTIALLY TWISTED DISTRIBUTION; IMPORTANCE SAMPLING; LARGE DEVIATIONS; MONTE CARLO ESTIMATION;

MONTE CARLO METHODS;

EID: 0027283208     PISSN: 00189448     EISSN: 15579654     Source Type: Journal    
DOI: 10.1109/18.179349     Document Type: Article

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