The problem of estimating estimating expectations of functions of random vectors via simulation is investigated. Monte Carlo simulations, also known as simple averaging, have been used as a direct means of estimation. A technique known as importance sampling can be used to modify the simulation via weighted averaging in the hope that the estimate will converge more rapidly to the expected value than standard Monte Carlo simulations. A constrained optimal solution to the problem of minimizing the variance of the importance sampling estimator is derived. This is accomplished by finding the distribution which is closest to the unconstrained optimal solution in the Ali-Silvey sense (S. Ali et al., 1966). The solution from the constraint class is shown to be the least favorable density function in terms of Bayes risk against the optimal density function. Examples of constraint classes, which include epsilon -mixture, show that the constrained optimal solution can be made arbitrarily close to the optimal solution. Applications to estimating probability of error in communication systems are presented.
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