Title :
An optimal importance sampling method for a transient Markov system
Author :
Qi, Hongui ; Wei, Michael ; Lei Wei
Author_Institution :
Sch. of Electr., Comput. & Telecommun. Eng., Wollongong Univ., NSW, Australia
Abstract :
In this paper an optimal importance sampling (IS) method is derived for a transient Markov system. Several propositions are presented. It is shown that the optimal IS method is unique, and it must converge to the standard Monte Carlo (MC) simulation method when the sample path length approaches infinity. Therefore, it is not the size of the state space of the Markov system, but the sample path length, that limits the efficiency of the IS method. Numerical results are presented to support the argument.
Keywords :
Markov processes; Monte Carlo methods; importance sampling; optimisation; Monte Carlo simulation; optimal importance sampling; sample path length; transient Markov system; Analytical models; Australia; Computational modeling; Computer networks; Error probability; H infinity control; Monte Carlo methods; Performance analysis; State-space methods; Telecommunication computing;
Conference_Titel :
Global Telecommunications Conference, 2001. GLOBECOM '01. IEEE
Conference_Location :
San Antonio, TX, USA
Print_ISBN :
0-7803-7206-9
DOI :
10.1109/GLOCOM.2001.965662
