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- W78629132 abstract "This paper presents some observations made from experimenting with the use of importance sampling on large and small systems. The key point is to develop heuristics that enables the use of importance sampling even when the biasing strategy cannot be proven to be optimal or produce estimates with bounded relative error. The main observation is that the likelihood ratio and its relative error seem to be a candidate that may serve as an indication of the stability of the importance sampling estimates. This heuristic is motivated both from the simulation experiments, and from the analytic studies of the variance of the importance sampling estimate in a simple M/M/1/N-queue. It has been observed that under too heavy biasing, the importance sampling estimates with seemingly good precision (small relative error) are 1-2 order of magnitude less than the exact values. Hence, using the relative error of the importance sampling estimates will lead to wrong conclusions regarding the correctness of the estimates. This paper proposes to use the mean observed likelihood ratio, with known expectation equal to 1, and its relative error in addition to the importance sampling estimate itself." @default.
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- W78629132 title "On the use of likelihood ratio as indicator of the accuracy of importance sampling estimates" @default.
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