Adaptive importance sampling (digital communication)

descriptionPublicationkeyboard_double_arrow_right Article 01 Apr 1993Publisher:Institute of Electrical and Electronics Engineers (IEEE)Journal:IEEE Journal on Selected Areas in Communications, volume 11, pages 309-316 (issn: 0733-8716,

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Authors: J.S. Stadler; S. Roy;

doi: 10.1109/49.219545

Adaptive importance sampling (digital communication)

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Abstract

Parametric adaptive importance sampling (IS) algorithms that adapt the IS density to the system of interest during the course of the simulation are discussed. This approach removes the burden of selecting the IS density from the system designer. The performance of two such algorithms is investigated for both linear and nonlinear systems operating in Gaussian noise. In addition, the algorithms are shown to converge to the optimum improved importance sampling density for the special case of a linear system with Gaussian noise. >

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