Efficient importance sampling for binary contingency tables

TL;DR

This paper develops a rigorous methodology for designing and analyzing efficient importance sampling algorithms for counting binary contingency tables, connecting rare-event simulation complexity with counting problem efficiency.

Contribution

It introduces a new approach to rigorously analyze importance sampling algorithms for counting binary tables, improving theoretical understanding of their efficiency.

Findings

The proposed importance sampling algorithm requires O(d^3ε^{-2}δ^{-1}) operations for accurate estimates.

Under certain conditions, the algorithm's complexity reduces to O(d^3ε^{-2}log(δ^{-1})).

The methodology links counting problems with rare-event simulation complexity analysis.

Abstract

Importance sampling has been reported to produce algorithms with excellent empirical performance in counting problems. However, the theoretical support for its efficiency in these applications has been very limited. In this paper, we propose a methodology that can be used to design efficient importance sampling algorithms for counting and test their efficiency rigorously. We apply our techniques after transforming the problem into a rare-event simulation problem--thereby connecting complexity analysis of counting problems with efficiency in the context of rare-event simulation. As an illustration of our approach, we consider the problem of counting the number of binary tables with fixed column and row sums, $c_j$'s and $r_i$'s, respectively, and total marginal sums $d=\sum_jc_j$. Assuming that $\max_jc_j=o(d^{1/2})$, $\sum c_j^2=O(d)$ and the $r_j$'s are bounded, we show that a suitable importance sampling algorithm, proposed by Chen et al. [J. Amer. Statist. Assoc. 100 (2005) 109--120], requires $O(d^3\varepsilon^{-2}\delta^{-1})$ operations to produce an estimate that has $\varepsilon$-relative error with probability $1-\delta$. In addition, if $\max_jc_j=o(d^{1/4-\delta_0})$ for some $\delta_0>0$, the same coverage can be guaranteed with $O(d^3\varepsilon^{-2}\log(\delta^{-1}))$ operations.