Uniform exponential convergence of SAA with AMIS and asymptotics of its optimal value

Abstract

We discuss in this paper uniform exponential convergence of sample average approximation (SAA) with adaptive multiple importance sampling (AMIS) and asymptotics of its optimal value. Using a concentration inequality for bounded martingale differences, we obtain a new exponential convergence rate. To study the asymptotics, we first derive an important functional central limit theorem (CLT) for martingale difference sequences. Subsequently, exploiting this result with the Delta theorem, we prove the asymptotics of optimal values for SAA with AMIS.