On optimizing importance sampling simulations
The importance sampling technique can result in large savings in simulation time for simulation of tail probabilities, but only when performed optimally. In this paper, we derive criteria for optimal importance sampling simulation of an arbitrarily weighted sum of independent exponential variates. W...
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| Veröffentlicht in: | IEEE transactions on circuits and systems 1987-12, Vol.34 (12), p.1558-1563 |
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| container_end_page | 1563 |
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| container_issue | 12 |
| container_start_page | 1558 |
| container_title | IEEE transactions on circuits and systems |
| container_volume | 34 |
| creator | Parhi, K. Berkowitz, R. |
| description | The importance sampling technique can result in large savings in simulation time for simulation of tail probabilities, but only when performed optimally. In this paper, we derive criteria for optimal importance sampling simulation of an arbitrarily weighted sum of independent exponential variates. We illustrate the use of importance sampling for false alarm threshold settings in square law integrators and MTI delay line cancelers in the presence of gaussian spectrum correlated clutter. For these systems, importance sampling simulation can not be optimally performed. Hence, we apply a linear transformation to decorrelate the clutter and perform importance sampling simulation optimally on the transformed system. |
| doi_str_mv | 10.1109/TCS.1987.1086093 |
| format | Article |
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In this paper, we derive criteria for optimal importance sampling simulation of an arbitrarily weighted sum of independent exponential variates. We illustrate the use of importance sampling for false alarm threshold settings in square law integrators and MTI delay line cancelers in the presence of gaussian spectrum correlated clutter. For these systems, importance sampling simulation can not be optimally performed. 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In this paper, we derive criteria for optimal importance sampling simulation of an arbitrarily weighted sum of independent exponential variates. We illustrate the use of importance sampling for false alarm threshold settings in square law integrators and MTI delay line cancelers in the presence of gaussian spectrum correlated clutter. For these systems, importance sampling simulation can not be optimally performed. Hence, we apply a linear transformation to decorrelate the clutter and perform importance sampling simulation optimally on the transformed system.</abstract><cop>New York, NY</cop><pub>IEEE</pub><doi>10.1109/TCS.1987.1086093</doi><tpages>6</tpages></addata></record> |
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| ispartof | IEEE transactions on circuits and systems, 1987-12, Vol.34 (12), p.1558-1563 |
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| language | eng |
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| source | IEEE Electronic Library (IEL) |
| subjects | Applied sciences Clutter Decorrelation Delay lines Discrete event simulation Error analysis Exact sciences and technology Information, signal and communications theory Monte Carlo methods Radar Random variables Sampling methods Tail Telecommunications and information theory |
| title | On optimizing importance sampling simulations |
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