Counterexamples in importance sampling for large deviations probabilities

Citation
Glasserman, Paul et Wang, Yashan, Counterexamples in importance sampling for large deviations probabilities, Annals of applied probability , 7(3), 1997, pp. 731-746
ISSN journal
10505164
Volume
7
Issue
3
Year of publication
1997
Pages
731 - 746
Database
ACNP
SICI code
Abstract
A guiding principle in the efficient estimation of rare-event probabilities by Monte Carlo is that importance sampling based on the change of measure suggested by a large deviations analysis can reduce variance by many orders of magnitude. In a variety of settings, this approach has led to estimators that are optimal in an asymptotic sense. We give examples, however, in which importance sampling estimators based on a large deviations change of measure have provably poor performance. The estimators can have variance that decreases at a slower rate than a naive estimator, variance that increases with the rarity of the event, and even infinite variance. For each example, we provide an alternative estimator with provably efficient performance. A common feature of our examples is that they allow more than one way for a rare event to occur; our alternative estimators give explicit weight to lower probability paths neglected by leading-term asymptotics.