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Using the Importance Sampling Identity to Bound Tail Probabilities

Published online by Cambridge University Press:  27 July 2009

Sheldon M. Ross
Sheldon M. Ross
Affiliation:
Department of Industrial Engineering and Operations Research, University of California, Berkeley, Berkeley, California 94720
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Abstract

We show how the importance sampling identity can often be used to efficiently bound tail probabilities, illustrating with the normal, Poisson, and gamma random variables.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 12 , Issue 4 , October 1998 , pp. 445 - 452
Copyright
Copyright © Cambridge University Press 1998

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