The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 28, Number 2 (2018), 1099-1135.
The sample size required in importance sampling
The goal of importance sampling is to estimate the expected value of a given function with respect to a probability measure $\nu$ using a random sample of size $n$ drawn from a different probability measure $\mu$. If the two measures $\mu$ and $\nu$ are nearly singular with respect to each other, which is often the case in practice, the sample size required for accurate estimation is large. In this article, it is shown that in a fairly general setting, a sample of size approximately $\exp(D(\nu\parallel\mu))$ is necessary and sufficient for accurate estimation by importance sampling, where $D(\nu\parallel\mu)$ is the Kullback–Leibler divergence of $\mu$ from $\nu$. In particular, the required sample size exhibits a kind of cut-off in the logarithmic scale. The theory is applied to obtain a general formula for the sample size required in importance sampling for one-parameter exponential families (Gibbs measures).
Ann. Appl. Probab., Volume 28, Number 2 (2018), 1099-1135.
Received: November 2015
Revised: June 2017
First available in Project Euclid: 11 April 2018
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 65C05: Monte Carlo methods 65C60: Computational problems in statistics 60F05: Central limit and other weak theorems 82B80: Numerical methods (Monte Carlo, series resummation, etc.) [See also 65-XX, 81T80]
Chatterjee, Sourav; Diaconis, Persi. The sample size required in importance sampling. Ann. Appl. Probab. 28 (2018), no. 2, 1099--1135. doi:10.1214/17-AAP1326. https://projecteuclid.org/euclid.aoap/1523433632