Henrik Hult: Four lectures on importance sampling

3) Importance sampling and stochastic control

There is a close connection between importance sampling and stochastic control theory. The choice of sampling distribution can be seen as the control and the objective is to minimize the relative error.

4) Sequential importance sampling in large state spaces

We provide examples of importance sampling in large state spaces. Examples include the number of non-intersecting paths from (0,0) to (n,n) in an n-by-n lattice and related problems.

(This seminar is the second in a series of two seminars. The first seminar was given on Tuesday, June 8, at 10.15-12.00.)