统计与社会科学实验系列讲座（一）同济大学黄志源来实验室讲座预告

讲座题目：稀有事件仿真中基于方差的有效性标准的过度保守问题

主讲人：黄志源

讲座时间：2025年4月23日(周三) 14:00

讲座地点：现教中心102会议室

主讲人简介：

黄志源， 同济大学经济管理学院助理教授，密歇根大学哲学博士。主要研究方向为数据驱动优化、稀有事件模拟及其在人工智能系统和机器学习问题中的应用。他的研究发表在《Management Science》， 《ACM Transactions on Modeling and Computer simulation》与 《Operations Research》等运筹学和随机模拟领域的国际权威期刊上。

讲座摘要：

In rare-event simulation, an importance sampling (IS) estimator is regarded as efficient if its relative error, namely the ratio between its standard deviation and mean, is sufficiently controlled. It is widely known that when a rare-event set contains multiple "important regions" encoded by the dominating points, IS needs to account for all of them via mixing to achieve efficiency. We argue that missing less significant dominating points may not necessarily cause inefficiency, and the traditional analysis recipe could suffer from intrinsic looseness by using relative error, or in turn estimation variance, as an efficiency criterion. We propose a new efficiency notion called "probabilistic efficiency" to tighten this gap. The new notion is especially relevant in high-dimensional settings where the computational effort to locate all dominating points is enormous.