Importance Sampling: Fundamentals and Applications
演讲者
时间
2025年11月21日 15:00 至 16:00
地点
A3-2-303
线上
Zoom 435 529 7909
(BIMSA)
摘要
As a venerable technique in computational statistics, importance sampling finds extensive application in reducing variance and estimating rare-event probabilities. This report will first introduce its theoretical foundations, highlighting the key concept of reweighting important samples to estimate the target expectation. Subsequently, we will illustrate its significant advantages over simple Monte Carlo sampling, particularly its ability to achieve orders of magnitude higher efficiency in challenging scenarios involving tail probabilities and high-dimensional integrals. Finally, the talk will discuss the challenges and practical considerations encountered when applying it to real-world problems.