Groupe d’études et de recherche en analyse des décisions

G-2011-47

Markov Chain Importance Sampling with Applications to Rare Event Probability Estimation

, et

Monte Carlo method for estimating multidimensional integrals, with applications to rare-event probability estimation. The method fuses two distinct and popular Monte Carlo simulation methods - Markov chain Monte Carlo and importance sampling - into a single algorithm. We show that for some illustrative and applied numerical examples the proposed Markov Chain importance sampling algorithm performs better than methods based solely on importance sampling or MCMC.

, 24 pages