한국시뮬레이션학회논문지 (Journal of the Korea Society for Simulation)

한국시뮬레이션학회 (The Korea Society for Simulation)
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속산 시뮬레이션을 위한 적응형 비모수 중요 샘플링 기법

Non-parametric Adaptive Importance Sampling for Fast Simulation Technique

  • 김윤배 (성균관대학교 시스템경영공학부)
  • 발행 : 1999.09.01
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초록

Simulating rare events, such as probability of cell loss in ATM networks, machine failure in highly reliable systems, requires huge simulation efforts due to the low chance of occurrence. Importance Sampling (IS) has been applied to accelerate the occurrence of rare events. However, it has a drawback of effective biasing scheme to make the estimator of IS unbiased. Adaptive Importance Sampling (AIS) employs an estimated sampling distribution of IS to the system of interest during the course of simulation. We propose Nonparametric Adaptive Importance Sampling (NAIS) technique which is nonparametrical version of AIS. We test NAIS to estimate a probability of rare event in M/M/1 queueing model. Comparing with classical Monte Carlo simulation, the computational efficiency and variance reductions gained via NAIS are substantial. A possible extension of NAIS regarding with random number generation is also discussed.

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참고문헌

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