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Stochastic Enumeration with Importance Sampling

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  • Alathea Jensen

    (George Mason University)

Abstract

Many hard problems in the computational sciences are equivalent to counting the leaves of a decision tree, or, more generally, by summing a cost function over the nodes. These problems include calculating the permanent of a matrix, finding the volume of a convex polyhedron, and counting the number of linear extensions of a partially ordered set. Many approximation algorithms exist to estimate such sums. One of the most recent is Stochastic Enumeration (SE), introduced in 2013 by Rubinstein. In 2015, Vaisman and Kroese provided a rigorous analysis of the variance of SE, and showed that SE can be extended to a fully polynomial randomized approximation scheme for certain cost functions on random trees. We present an algorithm that incorporates an importance function into SE, and provide theoretical analysis of its efficacy. We also present the results of numerical experiments to measure the variance of an application of the algorithm to the problem of counting linear extensions of a poset, and show that introducing importance sampling results in a significant reduction of variance as compared to the original version of SE.

Suggested Citation

  • Alathea Jensen, 2018. "Stochastic Enumeration with Importance Sampling," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1259-1284, December.
    • Handle: RePEc:spr:metcap:v:20:y:2018:i:4:d:10.1007_s11009-018-9619-2
    DOI: 10.1007/s11009-018-9619-2
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    References listed on IDEAS

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    1. Radislav Vaisman & Dirk P. Kroese, 2017. "Stochastic Enumeration Method for Counting Trees," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 31-73, March.
    2. Reuven Rubinstein, 2013. "Stochastic Enumeration Method for Counting NP-Hard Problems," Methodology and Computing in Applied Probability, Springer, vol. 15(2), pages 249-291, June.
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