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
Hauptverfasser:	Parhi, K., Berkowitz, R.
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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