State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
Abstract Estimating the expectations of functionals applied to sums of random variables (RVs) is a well-known problem encountered in many challenging applications. Generally, closed-form expressions of these quantities are out of reach. A naive Monte Carlo simulation is an alternative approach. However, this method requires numerous samples for rare event …