Uniform convergence of sample average approximation with adaptive multiple importance sampling

M. Ben Feng, Alvaro Maggiar, Jeremy Staum, Andreas Waechter

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We study sample average approximations under adaptive importance sampling in which the sample densities may depend on previous random samples. Based on a generic uniform law of large numbers, we establish uniform convergence of the sample average approximation to the function being approximated. In the optimization context, we obtain convergence of the optimal value and optimal solutions of the sample average approximation.

Original languageEnglish (US)
Title of host publicationWSC 2018 - 2018 Winter Simulation Conference
Subtitle of host publicationSimulation for a Noble Cause
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1646-1657
Number of pages12
ISBN (Electronic)9781538665725
DOIs
StatePublished - Jan 31 2019
Event2018 Winter Simulation Conference, WSC 2018 - Gothenburg, Sweden
Duration: Dec 9 2018Dec 12 2018

Publication series

NameProceedings - Winter Simulation Conference
Volume2018-December
ISSN (Print)0891-7736

Conference

Conference2018 Winter Simulation Conference, WSC 2018
CountrySweden
CityGothenburg
Period12/9/1812/12/18

Fingerprint

Sample Average Approximation
Importance sampling
Importance Sampling
Uniform convergence
Uniform Law of Large numbers
Adaptive Sampling
Optimal Solution
Optimization

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

Cite this

Ben Feng, M., Maggiar, A., Staum, J., & Waechter, A. (2019). Uniform convergence of sample average approximation with adaptive multiple importance sampling. In WSC 2018 - 2018 Winter Simulation Conference: Simulation for a Noble Cause (pp. 1646-1657). [8632370] (Proceedings - Winter Simulation Conference; Vol. 2018-December). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/WSC.2018.8632370
Ben Feng, M. ; Maggiar, Alvaro ; Staum, Jeremy ; Waechter, Andreas. / Uniform convergence of sample average approximation with adaptive multiple importance sampling. WSC 2018 - 2018 Winter Simulation Conference: Simulation for a Noble Cause. Institute of Electrical and Electronics Engineers Inc., 2019. pp. 1646-1657 (Proceedings - Winter Simulation Conference).
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Ben Feng, M, Maggiar, A, Staum, J & Waechter, A 2019, Uniform convergence of sample average approximation with adaptive multiple importance sampling. in WSC 2018 - 2018 Winter Simulation Conference: Simulation for a Noble Cause., 8632370, Proceedings - Winter Simulation Conference, vol. 2018-December, Institute of Electrical and Electronics Engineers Inc., pp. 1646-1657, 2018 Winter Simulation Conference, WSC 2018, Gothenburg, Sweden, 12/9/18. https://doi.org/10.1109/WSC.2018.8632370

Uniform convergence of sample average approximation with adaptive multiple importance sampling. / Ben Feng, M.; Maggiar, Alvaro; Staum, Jeremy; Waechter, Andreas.

WSC 2018 - 2018 Winter Simulation Conference: Simulation for a Noble Cause. Institute of Electrical and Electronics Engineers Inc., 2019. p. 1646-1657 8632370 (Proceedings - Winter Simulation Conference; Vol. 2018-December).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Ben Feng M, Maggiar A, Staum J, Waechter A. Uniform convergence of sample average approximation with adaptive multiple importance sampling. In WSC 2018 - 2018 Winter Simulation Conference: Simulation for a Noble Cause. Institute of Electrical and Electronics Engineers Inc. 2019. p. 1646-1657. 8632370. (Proceedings - Winter Simulation Conference). https://doi.org/10.1109/WSC.2018.8632370