A class of optimum importance sampling strategies

DOI10.1016/0020-0255(94)00116-SzbMath0869.62087MaRDI QIDQ1358816

Behnaam Aazhang, Geoffrey C. Orsak

Publication date: 4 August 1997

Published in: Information Sciences (Search for Journal in Brave)

zbMATH Keywords

importance samplingnonlinear cost functionsconstrained optimal distributionestimating probabilities of rare eventsglobal optimal distributionoptimal biasing densitystatistical distance measure

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of statistics (62P99)

Cites Work

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• Robust detection of known signals
• The rate-distortion function on classes of sources determined by spectral capacities
• Robust Statistics

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