Path Sampling for State-Dependent Importance Sampling (with J. C. Liu)

Summary:

The paper is largely motivated by the problem of computing the normalizing constants along the simulation in algorithms such as that in Blanchet and Glynn (2008) Ann. of Appl. Probab. 18, 1351-1378. We use path sampling and analyze the total complexity in a large deviations example. It would be nice to go revisit this technique and write a full journal version of this paper.

Bibtex:

@INPROCEEDINGS {BlanLiuPathConf07,

AUTHOR={ J. Blanchet and J. C. Liu},

YEAR={2007},

TITLE={Path sampling for state-dependent importance sampling},

BOOKTITLE={Proceedings of the 2007 Winter Simulation Conference},

EDITOR={S. G. Henderson, B. Biller, M.-H. Hsieh, J. Shortle, J. D. Tew and R. R. Barton},

PUBLISHER={IEEE Press},

PAGES={380-388}

}