Glossary · Reliability, calibration, and statistics
Importance sampling
Reweighting samples from a proposal distribution q to estimate expectations under the target p, by the likelihood ratio p(x)/q(x). For rare failures q over-produces failures; it must cover the failure region.
Defined in
Handbook · ValidationRare-event assuranceZero failures in n trials is not zero risk. Bound it, then prevent, search, oversample and monitor.Related terms
- Multilevel splitting
- Rare-event estimation by factorizing a very small failure probability into a product of larger conditional probabilities across severity levels, each estimated among the survivors of the previous level.
Where it comes up
- Notation and formula cardHandbook · Reference
- CrosswalkHandbook · Reference