Abstract
Analytical methods for evaluating the performance of digital transmission systems are often quite difficult to develop. As a result, digital computer simulations that are based on Monte Carlo methods are commonly used to achieve realistic estimates of the performance of such systems. Unfortunately, conventional Monte Carlo methods often require a large number of simulation runs in order to obtain accurate estimates. Various variance reduction techniques that are known as importance sampling methods have been successfully employed in the communications and statistical literature to significantly reduce the computational burden of brute-force Monte Carlo. In this paper, our objective is to illustrate the use of large deviations theory as a powerful tool for designing highly computationally efficient and flexible importance sampling schemes. As an application, we consider the simulation of fiber optic transmission systems.
| Original language | English |
|---|---|
| Title of host publication | Proceedings - Singapore ICCS/ISITA 1992 |
| Subtitle of host publication | ''Communications on the Move'' |
| Publisher | Institute of Electrical and Electronics Engineers Inc. |
| Pages | 1327-1331 |
| Number of pages | 5 |
| ISBN (Electronic) | 0780308034, 9780780308039 |
| DOIs | |
| Publication status | Published - 1 Jan 1992 |
| Event | 1992 Singapore: Communications on the Move, ICCS/ISITA 1992 - Singapore, Singapore Duration: 16 Nov 1992 → 20 Nov 1992 |
Publication series
| Name | Proceedings - Singapore ICCS/ISITA 1992: ''Communications on the Move'' |
|---|
Conference
| Conference | 1992 Singapore: Communications on the Move, ICCS/ISITA 1992 |
|---|---|
| Country | Singapore |
| City | Singapore |
| Period | 16/11/92 → 20/11/92 |
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ASJC Scopus subject areas
- Computer Networks and Communications
- Signal Processing
Cite this
On the exponential twisting in efficient Monte Carlo simulation. / Letaief, Khaled.
Proceedings - Singapore ICCS/ISITA 1992: ''Communications on the Move''. Institute of Electrical and Electronics Engineers Inc., 1992. p. 1327-1331 255044 (Proceedings - Singapore ICCS/ISITA 1992: ''Communications on the Move'').Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - On the exponential twisting in efficient Monte Carlo simulation
AU - Letaief, Khaled
PY - 1992/1/1
Y1 - 1992/1/1
N2 - Analytical methods for evaluating the performance of digital transmission systems are often quite difficult to develop. As a result, digital computer simulations that are based on Monte Carlo methods are commonly used to achieve realistic estimates of the performance of such systems. Unfortunately, conventional Monte Carlo methods often require a large number of simulation runs in order to obtain accurate estimates. Various variance reduction techniques that are known as importance sampling methods have been successfully employed in the communications and statistical literature to significantly reduce the computational burden of brute-force Monte Carlo. In this paper, our objective is to illustrate the use of large deviations theory as a powerful tool for designing highly computationally efficient and flexible importance sampling schemes. As an application, we consider the simulation of fiber optic transmission systems.
AB - Analytical methods for evaluating the performance of digital transmission systems are often quite difficult to develop. As a result, digital computer simulations that are based on Monte Carlo methods are commonly used to achieve realistic estimates of the performance of such systems. Unfortunately, conventional Monte Carlo methods often require a large number of simulation runs in order to obtain accurate estimates. Various variance reduction techniques that are known as importance sampling methods have been successfully employed in the communications and statistical literature to significantly reduce the computational burden of brute-force Monte Carlo. In this paper, our objective is to illustrate the use of large deviations theory as a powerful tool for designing highly computationally efficient and flexible importance sampling schemes. As an application, we consider the simulation of fiber optic transmission systems.
UR - http://www.scopus.com/inward/record.url?scp=85067407927&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85067407927&partnerID=8YFLogxK
U2 - 10.1109/ICCS.1992.255044
DO - 10.1109/ICCS.1992.255044
M3 - Conference contribution
T3 - Proceedings - Singapore ICCS/ISITA 1992: ''Communications on the Move''
SP - 1327
EP - 1331
BT - Proceedings - Singapore ICCS/ISITA 1992
PB - Institute of Electrical and Electronics Engineers Inc.
ER -