Importance Sampling for Gibbs Random Fields
Paolo Baldi, Arnoldo Frigessi, Mauro Piccioni · The Annals of Applied Probability · 1993
This existence of an asymptotically efficient importance sampling distribution for estimating small probabilities of statistics of Gibbs random fields is proved, together with its uniqueness, in an appropriate sense. This distribution is also a Gibbs random field associated with an interaction potential that is explicitly given. The particular case of Markov chains is treated. The practical relevance of the results in applications is discussed.