Importance Simulation¶
Let us note
.
The goal is to estimate the following probability:
This is a sampling-based method. The main idea of the Importance
Sampling method is to replace the initial probability distribution of
the input variables by a more “efficient” one. “Efficient” means that
more events will be counted in the failure domain and
thus reduce the variance of the estimator of the probability of
exceeding a threshold. Let be a random vector
such that its probability density function
almost everywhere in the
domain ,
The estimator built by Importance Sampling method is:
where:
is the total number of computations,
the random vectors are independent, identically distributed and following the probability density function
Confidence Intervals
With the notations,
The asymptotic confidence interval of order associated to the estimator is
where is the quantile from the standard distribution .
This method could also be found under the name “Strategic Sampling”, “Weighted Sampling” or “Biased Sampling” (even if this estimator is not biased as it gives exactly the same result).