On the exponential twisting in efficient Monte Carlo simulation

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 languageEnglish
Title of host publicationProceedings - Singapore ICCS/ISITA 1992
Subtitle of host publication''Communications on the Move''
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1327-1331
Number of pages5
ISBN (Electronic)0780308034, 9780780308039
DOIs
Publication statusPublished - 1 Jan 1992
Event1992 Singapore: Communications on the Move, ICCS/ISITA 1992 - Singapore, Singapore
Duration: 16 Nov 199220 Nov 1992

Publication series

NameProceedings - Singapore ICCS/ISITA 1992: ''Communications on the Move''

Conference

Conference1992 Singapore: Communications on the Move, ICCS/ISITA 1992
CountrySingapore
CitySingapore
Period16/11/9220/11/92

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ASJC Scopus subject areas

  • Computer Networks and Communications
  • Signal Processing

Cite this

Letaief, K. (1992). On the exponential twisting in efficient Monte Carlo simulation. In Proceedings - Singapore ICCS/ISITA 1992: ''Communications on the Move'' (pp. 1327-1331). [255044] (Proceedings - Singapore ICCS/ISITA 1992: ''Communications on the Move''). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICCS.1992.255044