Efficient importance sampling for the left tail of positive Gaussian quadratic forms

Issaid, Chaouki Ben; Alouini, Mohamed-Slim; Tempone, Raúl (2020-11-06)
 
Avaa tiedosto
Lataukset: 

URL:
https://doi.org/10.1109/LWC.2020.3036588

Issaid, Chaouki Ben
Alouini, Mohamed-Slim
Tempone, Raúl
Institute of Electrical and Electronics Engineers
06.11.2020

C. B. Issaid, M. -S. Alouini and R. Tempone, "Efficient Importance Sampling for the Left Tail of Positive Gaussian Quadratic Forms," in IEEE Wireless Communications Letters, vol. 10, no. 3, pp. 527-531, March 2021, doi: 10.1109/LWC.2020.3036588

https://rightsstatements.org/vocab/InC/1.0/
© 2021 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
https://rightsstatements.org/vocab/InC/1.0/
doi:https://doi.org/10.1109/LWC.2020.3036588
Näytä kaikki kuvailutiedot
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe202103177627
Tiivistelmä

Abstract

Estimating the left tail of quadratic forms in Gaussian random vectors is of major practical importance in many applications. In this letter, we propose an efficient importance sampling estimator that is endowed with the bounded relative error property. This property significantly reduces the number of simulation runs required by the proposed estimator compared to naive Monte Carlo (MC), especially when the probability of interest is very small. Selected simulation results are presented to illustrate the efficiency of our estimator compared to naive MC as well as some of the well-known approximations.

Kokoelmat