{"id":51513010,"url":"https://github.com/computorg/published-202402-elmasri-optimal","last_synced_at":"2026-07-08T08:04:15.303Z","repository":{"id":227037665,"uuid":"756280747","full_name":"computorg/published-202402-elmasri-optimal","owner":"computorg","description":null,"archived":false,"fork":false,"pushed_at":"2025-06-03T09:26:51.000Z","size":3448,"stargazers_count":1,"open_issues_count":4,"forks_count":0,"subscribers_count":4,"default_branch":"master","last_synced_at":"2025-06-03T20:28:34.016Z","etag":null,"topics":[],"latest_commit_sha":null,"homepage":"http://computo.sfds.asso.fr/published-202402-elmasri-optimal/","language":"TeX","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"cc-by-4.0","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/computorg.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null}},"created_at":"2024-02-12T10:57:45.000Z","updated_at":"2025-06-03T09:26:52.000Z","dependencies_parsed_at":"2024-03-31T04:22:33.219Z","dependency_job_id":"7b93567e-d76f-4075-83c0-e14c56e59f87","html_url":"https://github.com/computorg/published-202402-elmasri-optimal","commit_stats":null,"previous_names":["computorg/published-202402-elmasri-optimal"],"tags_count":1,"template":false,"template_full_name":null,"purl":"pkg:github/computorg/published-202402-elmasri-optimal","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/computorg%2Fpublished-202402-elmasri-optimal","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/computorg%2Fpublished-202402-elmasri-optimal/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/computorg%2Fpublished-202402-elmasri-optimal/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/computorg%2Fpublished-202402-elmasri-optimal/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/computorg","download_url":"https://codeload.github.com/computorg/published-202402-elmasri-optimal/tar.gz/refs/heads/master","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/computorg%2Fpublished-202402-elmasri-optimal/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":35257285,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-05-26T15:22:16.424Z","status":"online","status_checked_at":"2026-07-08T02:00:06.796Z","response_time":61,"last_error":null,"robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":true,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":[],"created_at":"2026-07-08T08:04:14.451Z","updated_at":"2026-07-08T08:04:15.293Z","avatar_url":"https://github.com/computorg.png","language":"TeX","funding_links":[],"categories":[],"sub_categories":[],"readme":"# Optimal projection for parametric importance sampling in high dimensions\nMaxime El Masri, Jérôme Morio, Florian Simatos\n2024-03-11\n\n### Citation\n\nMaxime El Masri, Jérôme Morio and Florian Simatos (March 2024). Optimal projection for parametric importance sampling in high dimensions. Computo.\n\u003chttps://doi.org/10.57750/jjza-6j82\u003e\n\n### Badges\n\n[![build and\npublish](https://github.com/computorg/published-202402-elmasri-optimal/actions/workflows/build.yml/badge.svg)](https://github.com/computorg/published-202402-elmasri-optimal/actions/workflows/build.yml)\n[![reviews](https://img.shields.io/badge/review-report-blue)](https://github.com/computorg/published-202402-elmasri-optimal/issues?q=is%3Aopen+is%3Aissue+label%3Areview)\n[![SWH](https://archive.softwareheritage.org/badge/origin/https://github.com/computorg/published-202402-elmasri-optimal)](https://archive.softwareheritage.org/browse/origin/?origin_url=https://github.com/computorg/published-202402-elmasri-optimal)\n[![DOI:10.57750/jjza-6j82](https://img.shields.io/badge/DOI-10.57750%2Fjjza--6j82-034E79.svg)](https://doi.org/10.57750/jjza-6j82)\n[![Creative Commons\nLicense](https://i.creativecommons.org/l/by/4.0/80x15.png)](http://creativecommons.org/licenses/by/4.0/)\n\n### Authors’ affiliations\n\n- Maxime El Masri (ONERA/DTIS, ISAE-SUPAERO, Université de Toulouse)\n- [Jérôme Morio](https://www.onera.fr/en/staff/jerome-morio?destination=node/981) (ONERA/DTIS, Université de Toulouse)\n- [Florian Simatos](https://pagespro.isae-supaero.fr/florian-simatos/) (ISAE-SUPAERO, Université de Toulouse)\n\n### Abstract\n\nWe propose a dimension reduction strategy in order to improve the\nperformance of importance sampling in high dimensions. The idea is to\nestimate variance terms in a small number of suitably chosen directions.\nWe first prove that the optimal directions, i.e., the ones that minimize\nthe Kullback–Leibler divergence with the optimal auxiliary density, are\nthe eigenvectors associated with extreme (small or large) eigenvalues of\nthe optimal covariance matrix. We then perform extensive numerical\nexperiments showing that as dimension increases, these directions give\nestimations which are very close to optimal. Moreover, we demonstrate\nthat the estimation remains accurate even when a simple empirical\nestimator of the covariance matrix is used to compute these directions.\nThe theoretical and numerical results open the way for different\ngeneralizations, in particular the incorporation of such ideas in\nadaptive importance sampling schemes.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fcomputorg%2Fpublished-202402-elmasri-optimal","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fcomputorg%2Fpublished-202402-elmasri-optimal","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fcomputorg%2Fpublished-202402-elmasri-optimal/lists"}