Quick simulation: a review of importance sampling techniques in communications systems

@article{citeulike:1069332, abstract = {Importance sampling (IS) is a simulation technique which aims to reduce the variance (or other cost function) of a given simulation estimator. In communication systems, this usually, but not always, means attempting to reduce the variance of the bit error rate (BER) estimator. By reducing the variance, IS estimators can achieve a given precision from shorter simulation runs; hence the term \“quick simulation.\” The idea behind IS is that certain values of the input random variables in a simulation have more impact on the parameter being estimated than others. If these \“important\” values are emphasized by sampling more frequently, then the estimator variance can be reduced. Hence, the basic methodology in IS is to choose a distribution which encourages the important values. This use of a \“biased\” distribution will, of course, result in a biased estimator if applied directly in the simulation. However, there is a simple procedure whereby the simulation outputs are weighted to correct for the use of the biased distribution, and this ensures that the new IS estimator is unbiased. Hence, the \“art\” of designing quick simulations via IS is entirely dependent on the choice of biased distribution. Over the last 50 years, IS techniques have flourished, but it is only in the last decade that coherent design methods have emerged. The outcome of these developments is that at the expense of increasing technical content, modern techniques can offer substantial run-time saving for a very broad range of problems. We present a comprehensive history and survey of IS methods. In addition, we offer a guide to the strengths and weaknesses of the techniques, and hence indicate which techniques are suitable for various types of communications systems. We stress that simple approaches can still yield useful savings, and so the simulation practitioner as well as the technical researcher should consider IS as a possible simulation tool}, author = {Smith, P. J. and Shafi, M. and Gao, Hongsheng }, citeulike-article-id = {1069332}, doi = {http://dx.doi.org/10.1109/49.585771}, journal = {Selected Areas in Communications, IEEE Journal on}, keywords = {importance, sampling}, number = {4}, pages = {597--613}, posted-at = {2007-11-13 23:45:01}, priority = {2}, title = {Quick simulation: a review of importance sampling techniques in communications systems}, url = {http://dx.doi.org/10.1109/49.585771}, volume = {15}, year = {1997} }

TY - JOUR ID - citeulike:1069332 L3 - citeulike-article-id:1069332 TI - Quick simulation: a review of importance sampling techniques in communications systems JF - Selected Areas in Communications, IEEE Journal on VL - 15 IS - 4 SP - 597 EP - 613 N2 - Importance sampling (IS) is a simulation technique which aims to reduce the variance (or other cost function) of a given simulation estimator. In communication systems, this usually, but not always, means attempting to reduce the variance of the bit error rate (BER) estimator. By reducing the variance, IS estimators can achieve a given precision from shorter simulation runs; hence the term “quick simulation.” The idea behind IS is that certain values of the input random variables in a simulation have more impact on the parameter being estimated than others. If these “important” values are emphasized by sampling more frequently, then the estimator variance can be reduced. Hence, the basic methodology in IS is to choose a distribution which encourages the important values. This use of a “biased” distribution will, of course, result in a biased estimator if applied directly in the simulation. However, there is a simple procedure whereby the simulation outputs are weighted to correct for the use of the biased distribution, and this ensures that the new IS estimator is unbiased. Hence, the “art” of designing quick simulations via IS is entirely dependent on the choice of biased distribution. Over the last 50 years, IS techniques have flourished, but it is only in the last decade that coherent design methods have emerged. The outcome of these developments is that at the expense of increasing technical content, modern techniques can offer substantial run-time saving for a very broad range of problems. We present a comprehensive history and survey of IS methods. In addition, we offer a guide to the strengths and weaknesses of the techniques, and hence indicate which techniques are suitable for various types of communications systems. We stress that simple approaches can still yield useful savings, and so the simulation practitioner as well as the technical researcher should consider IS as a possible simulation tool KW - importance KW - sampling AU - Smith, PJ AU - Shafi, M AU - Gao, Hongsheng PY - 1997/// UR - http://dx.doi.org/10.1109/49.585771 ER -