Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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PERFORMANCE EVALUATION VIA MONTE CARLO IMPORTANCE SAMPLING IN SINGLE USER DIGITAL COMMUNICATION SYSTEMS

  • Oh Man-Suk (Department of Statistics, Ewha Womans University)
  • Published : 2006.06.01
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Abstract

This research proposes an efficient Monte Carlo algorithm for computing error probability in high performance digital communication st stems. It characterizes special features of the problem and suggests an importance sampling algorithm specially designed to handle the problem. It uses a shifted exponential density as the importance sampling density, and shows an adaptive way of choosing the rate and the origin of the shifted exponential density. Instead of equal allocation, an intelligent allocation of the samples is proposed so that more samples are allocated to more important part of the error probability. The algorithm uses the nested feature of the error space and avoids redundancy in estimating the probability. The algorithm is applied to an example data set and shows a great improvement in accuracy of the error probability estimation.

Keywords

References

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