On Optimizing Importance Sampling Simulations

Keshab K. Parhi, Raymond S. Berkowitz

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

The importance sampling technique can result in large sayings 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.

Original languageEnglish (US)
Pages (from-to)1558-1563
Number of pages6
JournalIEEE Transactions on Circuits and Systems
Volume34
Issue number12
DOIs
StatePublished - Jan 1 1987

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Importance sampling
Linear transformations
Electric delay lines

Cite this

On Optimizing Importance Sampling Simulations. / Parhi, Keshab K.; Berkowitz, Raymond S.

In: IEEE Transactions on Circuits and Systems, Vol. 34, No. 12, 01.01.1987, p. 1558-1563.

Research output: Contribution to journalArticle

Parhi, Keshab K. ; Berkowitz, Raymond S. / On Optimizing Importance Sampling Simulations. In: IEEE Transactions on Circuits and Systems. 1987 ; Vol. 34, No. 12. pp. 1558-1563.
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