When Machine Learning Meets Importance Sampling: A More Efficient Rare Event Estimation Approach
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Abstract (arXiv)
Driven by applications in telecommunication networks, we explore the simulation task of estimating rare event probabilities for tandem queues in their steady state. Existing literature has recognized that importance sampling methods can be inefficient, due to the exploding variance of the path-dependent likelihood functions. To mitigate this, we introduce a new importance sampling approach that utilizes a marginal likelihood ratio on the stationary distribution, effectively avoiding the issue of excessive variance. In addition, we design a machine learning algorithm to estimate this marginal likelihood ratio using importance sampling data. Numerical experiments indicate that our algorithm outperforms the classic importance sampling methods.
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References · 7
- 2018Breaking the Curse of Horizon: Infinite-Horizon Off-Policy Estimationcited by 227
- 2019Towards Optimal Off-Policy Evaluation for Reinforcement Learning with Marginalized Importance Samplingcited by 119
- 2022A Review of Off-Policy Evaluation in Reinforcement Learningcited by 95
- 2019Efficiently Breaking the Curse of Horizon in Off-Policy Evaluation with Double Reinforcement Learningcited by 75
- 2019Understanding the Curse of Horizon in Off-Policy Evaluation via Conditional Importance Samplingcited by 37
- 2019Combining Parametric and Nonparametric Models for Off-Policy Evaluationcited by 17
- 2015Robust Policy Optimization with Baseline Guaranteescited by 3
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