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 language | English (US) |
|---|---|
| Pages (from-to) | 1558-1563 |
| Number of pages | 6 |
| Journal | IEEE Transactions on Circuits and Systems |
| Volume | 34 |
| Issue number | 12 |
| DOIs | |
| State | Published - Jan 1 1987 |
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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 journal › Article
}
TY - JOUR
T1 - On Optimizing Importance Sampling Simulations
AU - Parhi, Keshab K.
AU - Berkowitz, Raymond S.
PY - 1987/1/1
Y1 - 1987/1/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0023531247&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0023531247&partnerID=8YFLogxK
U2 - 10.1109/TCS.1987.1086093
DO - 10.1109/TCS.1987.1086093
M3 - Article
VL - 34
SP - 1558
EP - 1563
JO - IEEE Transactions on Circuits and Systems
JF - IEEE Transactions on Circuits and Systems
SN - 0098-4094
IS - 12
ER -