Importance sampling is a variance reduction technique. We use it to reduce the variance of the approximation error that we make when we approximate an expected value with Monte Carlo integration.
In this lecture, we explain how importance sampling works and then we show with an example how effective it can be.
Importance sampling is based on a simple method used 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,
This is obtained as follows:
An almost identical proposition 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,
This is obtained as follows:where we have usedas a shorthand for the multiple integral over the coordinates of .
Suppose that we need to compute the expected valueof a function of a random vector by Monte Carlo integration.
The standard way to proceed is to produce a computer-generated sample of realizations of independent random vectors ,..., having the same distribution as .
Then, we 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).
Then, we use the sample meanas an approximation.
This technique is called importance sampling.
The reason why we use importance sampling is that we can often choose 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 is
In the case of importance sampling, the variance of the approximation error is
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 way that is a constant, which would imply that the variance of the approximation error is zero.
The next proposition shows when this ideal situation is achievable.
Proposition If for any , thenwhen has joint probability mass function
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 (pmf) of the optimal gives us some indications about the choice of .
In particular, equation (1) tells us that the pmf of should place more mass where the product between the pmf of and the value of is larger.
This product is a measure of the importance of the possible values of .
Therefore, the pmf of should be tilted so as to give more weight to the more important values of .
Before showing an example, let us summarize the main takeaways from this lecture:
importance sampling is a way of computing a Monte Carlo approximation of ;
we extract independent draws from a distribution that is different from that of
we use the weighted sample meanas an approximation of ;
this approximation has small variance when the pmf of puts more mass than the pmf of on the important points;
the important points are those for which is larger; they give a "substantial contribution" to the expected value;
when we average our samples, we 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 larger than .
Let us now illustrate importance sampling with an example.
Suppose that 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;
we extract very few values for which is different from zero.
This results in a high variance of the approximation error.
In order to shift weight towards , we can sample from a normal distribution with mean and standard deviation .
The following Python 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
.
The standard deviations of the two approximations
(std_MC
and std_IS
) are
estimated by using the sample
variances of
and
.
If you run this example code, you can see that indeed the importance sampling approximation achieves a significant reduction in the approximation error (from 0.0080 to 0.0012).
# Example of importance sampling in Python
import numpy as np
from scipy.stats import norm
n = 10000 # Number of Monte Carlo samples
np.random.seed(0) # Initialization of random number generator for replicability
# Standard Monte Carlo
x = np.random.randn(n, 1)
g = 10 * np.exp(-5 * (x - 3) ** 4)
MC = np.mean(g)
std_MC = np.sqrt(( 1 / n) * np.var(g))
print('Standard Monte-Carlo estimate of the expected value: ' + str(MC))
print('Standard deviation of plain-vanilla Monte Carlo: ' + str(std_MC))
print(' ')
# Importance sampling
y = 3 + np.random.randn(n, 1);
g = 10 * np.exp(-5 * (y - 3) ** 4);
g_weighted = g * norm.pdf(y, 0, 1) / norm.pdf(y, 3, 1);
IS = np.mean(g_weighted)
std_IS = np.sqrt((1 / n) * np.var(g_weighted))
print('Importance-sampling Monte-Carlo estimate of the expected value: ' + str(IS))
print('Standard deviation of importance-sampling Monte Carlo: ' + str(std_IS))
The output is:
Standard Monte-Carlo estimate of the expected value: 0.08579415409780462
Standard deviation of plain-vanilla Monte Carlo: 0.007904811247115087
Importance-sampling Monte-Carlo estimate of the expected value: 0.09096069224808337
Standard deviation of importance-sampling Monte Carlo: 0.0011925073695279826
Please cite as:
Taboga, Marco (2021). "Importance sampling", Lectures on probability theory and mathematical statistics. Kindle Direct Publishing. Online appendix. https://www.statlect.com/asymptotic-theory/importance-sampling.
Most of the learning materials found on this website are now available in a traditional textbook format.