comps

Basic Importance Sampling for Variance Reduction

This post attempts to provide a brief intro to importance sampling, presenting a relatively simple situation in which importance sampling enables a speedup in Monte Carlo by reducing the variance of the estimate. A lot of the material will be an effort to remember material that was taught to be in a Stochastic Processes and Applications class. This post should be though of as my notes on the course notes, with supplementation by https://www.