Importance sampling is a popular variance reduction method for Monte Carlo estimation, where a notorious question is how to design good proposal distributions. While in most cases optimal (zero-variance) estimators are theoretically possible, in practice only suboptimal proposal distributions are available and it can often be observed numerically that those can reduce statistical performance significantly, leading to large relative errors and therefore counteracting the original intention. In this article, we provide nonasymptotic lower and upper bounds on the relative error in importance sampling that depend on the deviation of the actual proposal from optimality, and we thus identify potential robustness issues that importance sampling may have, especially in high dimensions. We focus on path sampling problems for diffusion processes, for which generating good proposals comes with additional technical challenges, and we provide numerous numerical examples that support our findings.
翻译:在蒙特卡洛估算中,重要性抽样是流行的减少差异的方法,其中一个臭名昭著的问题是如何设计好的建议分布。虽然在多数情况下,最佳(零差异)估计数字在理论上是可能的,但实际上只有最优(零差异)建议分布,而且往往可以从数字上看到,这些分布可以显著降低统计性能,导致很大的相对错误,从而抵消了最初的意图。在本条中,我们对重要性抽样中的相对差错提供了非被动下限和上限,这种差错取决于实际建议偏离最佳性,因此我们确定了取样可能具有的潜在稳健性问题,特别是在高维度方面。我们侧重于传播过程的路径抽样问题,因为提出良好的建议会带来额外的技术挑战,我们提供了许多支持我们发现的数字例子。