Importance sampling is a variance reduction technique used to reduce the variance of the approximation error made when approximating an expected value with Monte Carlo integration.

Importance sampling is based on a simple technique that allows to compute expected values in many different but equivalent ways.

The next proposition shows how the technique works for discrete random vectors.

Proposition Let be a discrete random vector with support and joint probability mass function . Let be a function . Let be another discrete random vector with joint probability mass function and such that whenever . Then,

Proof

This is obtained as follows:

An almost identical propositon holds for continuous random vectors.

Proposition Let be a continuous random vector with support and joint probability density function . Let be a function . Let be another continuous random vector with joint probability density function and such that whenever . Then,

Proof

This is obtained as follows:where we have usedas a shorthand for the multiple integral over the coordinates of .

Suppose we need to compute the expected value of a function of a random vector by Monte Carlo integration.

The standard way to proceed is to use a computer-generated sample ,..., of realizations of independent random vectors ,..., having the same distribution as , and use the sample mean to approximate the expected value.

Thanks to the propositions in the previous section, we can compute an
alternative Monte Carlo approximation of
by extracting
independent draws
from the distribution of another random vector
(in what follows we assume that it is discrete, but everything we say applies
also to continuous vectors) and by using the sample
meanas
an approximation. This technique is called **importance
sampling**.

The reason why importance sampling is used is that can often be chosen in such a way that the variance of the approximation error is much smaller than the variance of the standard Monte Carlo approximation.

In the case of the standard Monte Carlo approximation, the variance of the approximation error iswhile, in the case of importance sampling, the variance of the approximation error is

Proof

In the standard case, the approximation error isand its variance isIn the case of importance sampling, we have

Ideally, we would like to be able to choose in such a a way that is a constant, which would imply that the variance of the approximation error is zero.

The next propostion shows when this ideal situation is achievable.

Proposition If for any , thenwhen has joint probability mass function

Proof

The ratio is constant if the proportionality conditionholds. By imposing that be a legitimate probability density function, we getor

Of course, the denominator is unknown (otherwise we would not be discussing how to compute a Monte Carlo approximation for it), so that it is not feasible to achieve the optimal choice for . However, the formula for the probability mass function of the optimal gives us some indications about the choice of . In particular, the formulatells us that the probability mass function of should place more mass where the product between the probability mass function of and the value of the function is larger. In other words, the probability mass function of should be tilted so as to give more weight to the values of for which is larger.

In the previous sections we have seen that importance sampling consists in computing an alternative Monte Carlo approximation of by extracting independent draws from the distribution of another random vector and by using the sample meanas an approximation. We have also seen that this approximation has small variance when the probability mass function of puts more mass than the probability mass function of on the values of for which is larger. This makes intuitive sense: if is larger at some points, then we should try to sample more frequently at those "important" points (in order to be more accurate about the value of at those points); then, when we average our samples, we should take into account the fact that we over-sampled the important points by weighting them down with the weights which are smaller than when is smaller than .

Let us now illustrate importance sampling with an example.

Suppose has a standard normal distribution (i.e., with mean and standard deviation ) and The function attains its maximum at the point and then rapidly goes to for values of that are smaller or larger than . On the contrary, the probability density function of a standard normal random variable is almost zero at . As a consequence, if we use a standard Monte Carlo approximation, we extract lots of values of for which is almost zero, but we extract very few values for which is different from zero, and this results in a high variance of the approximation error.

In order to shift weight towards , we can sample from , where has a normal distribution with mean and standard deviation .

The following MATLAB code shows how to do so and computes the standard Monte
Carlo (`MC`

) and the importance sampling
(`IS`

) approximations by using samples of
independent draws from the distributions of
and
.

rng(0) n=10000; x=randn(n,1); g=10*exp(-5*(x-3).^4); MC=mean(g) stdMC=sqrt((1/n)*var(g)) y=3+randn(n,1); g=10*exp(-5*(y-3).^4); gWeighted=g.*normpdf(y,0,1)./normpdf(y,3,1); IS=mean(gWeighted) stdIS=sqrt((1/n)*var(gWeighted))

The standard deviations of the two approximations
(`stdMC`

and `stdIS`

) are
estimated by using the sample variances of
and
.
If you run the code you can see that indeed the importance sampling
approximation achieves a significant reduction in the approximation error
(from 0.0084 to 0.0012).

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