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The optimal parameters of candidate measures established by importance sampling are usually obtained by minimizing the quadratic criterion. To begin with, in this paper a scheme is developed for finding the alternative measure that is optimal in the sense that the p-order relative moment is minimized. Secondly, a necessary and sufficient condition for asymptotic efficiency of the optimal change of...
A framework of combining importance sampling with Structured Database Monte Carlo strategy is developed. The proposed method attempts to devise a generic method for designing importance sampling method. Firstly, evaluation function and objective function are expressed in a way that there is a linear relation between response estimator and majorized function. Order structure is imposed not only on...
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