Re: Importance Sampling

Posted by Kris . on May 21, 2002; 11:48am
URL: http://quantlib.414.s1.nabble.com/Importance-Sampling-tp2069p2071.html

> introduce importance sampling a posteriori. Instead, we should sample from
> a distribution F(x) = G(x)H(x), where H(x) expresses the bias, and give
> each sample x_i a weight 1/H(x_i).

One way of looking at it is as a tilted distribution, with the mean
shifted,and
  F(x) = G(x) * H(x)   where H(x) = rand(0,1)/rand(t,1)

where t is some constant by which you are shifting the mean.

Kris