Importance Sampling for Minimization of Tail Risks: A Tutorial
"Approximating the #tail #risk #measure by its sample average approximation, while appealing due to its simplicity and universality in use, requires a large number of samples to be able to arrive at risk-minimizing decisions with high confidence. This is primarily due to the rarity with which the relevant tail events get observed in the samples. In simulation, Importance Sampling is among the most prominent methods for substantially reducing the sample requirement while estimating #probabilities of #rareevents."