• The Journal of Korean Institute of Communications and Information Sciences
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• v.22 no.5
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• pp.1097-1106
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• 1997

Most works on importance sampling (IS) as an efficient evaluation technique havd been done in an additibe white gaussian noise channel (Awgn). In this paper we propose a CQ(conventional importance sampling and quasi-translantion) IS technique for the mobile radio channel modeled as Rician fading, and analyze the IS estimator's variance to determine optimum IS parameters and the minimum number of run times. Reference showed that CIS technique has a poor performance for systems with meories, but it is shown that the CIS technique can be improved by combining with quasi-translation technique even for systems with memories. Here the CQ IS technique modifies the variance of additive noise and also performs quasi-translation for the fading distribution. We determine the optimum IS parameters of the proposed CQ IS estimator and whow that the simulation gains are about 10$^{3}$~10$^{6}$ for the mobile communication systems with memories in case of the expected BERs 10$^{-5}$ ~10$^{-8}$ .

• Journal of the Korea Society for Simulation
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• v.13 no.3
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• pp.1-10
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• 2004

The cell loss probability required in the ATM network is in the range of 10$^{-9}$ ∼10$^{-12}$ . If Monte Carlo simulation is used to analyze the performance of the ATM node, an enormous amount of computer time is required. To obtain large speed-up factors, importance sampling may be used. Since the Markov-modulated processes have been used to model various high-speed network traffic sources, we consider discrete time single server queueing systems with Markov-modulated arrival processes which can be used to model an ATM node. We apply importance sampling based on the Large Deviation Theory for the performance evaluation of, MMBP/D/1/K, ∑MMBP/D/1/K, and two stage tandem queueing networks with Markov-modulated arrival processes and deterministic service times. The simulation results show that the buffer overflow probabilities obtained by the importance sampling are very close to those obtained by the Monte Carlo simulation and the computer time can be reduced drastically.

• Proceedings of the Korea Society for Simulation Conference
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• 1999.04a
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• pp.70-79
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• 1999

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 from IS unbiased. Adaptive Importance Sampling (AIS) employs an estimated sampling distribution of IS to the systems of interest during the course of simulation. We propose Nonparametric Adaptive Importance Sampling (NAIS) technique which is nonparametrically modified version of AIS and test it 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.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.24 no.63
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• pp.33-43
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• 2001

To estimate the reliability of a large and complex network with a small variance, we propose two dynamic Monte Carlo sampling methods: the sequential minimal cut set (SMCS) and the sequential minimal path set (SMPS) methods. These methods do not require all minimal cut sets or path sets to be given in advance and do not simulate all arcs at each trial, which can decrease the valiance of network reliability. Based on the proposed methods, we develop the importance sampling estimators, the total hazard (or safety) estimator and the hazard (or safety) importance sampling estimator, and compare the performance of these simulation estimators. It is found that these estimators can significantly reduce the variance of the raw simulation estimator and the usual importance sampling estimator. Especially, the SMCS algorithm is very effective in case that the failure probabilities of arcs are low. On the contrary, the SMPS algorithm is effective in case that the success Probabilities of arcs are low.

• Structural Engineering and Mechanics
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• v.5 no.2
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• pp.115-126
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• 1997

Importance sampling methods have been developed with the aim of reducing the computational costs inherent in Monte Carlo methods. This study proposes a new algorithm called the adaptive kernel method which combines and modifies some of the concepts from adaptive sampling and the simple kernel method to evaluate the structural reliability of time variant problems. The essence of the resulting algorithm is to select an appropriate starting point from which the importance sampling density can be generated efficiently. Numerical results show that the method is unbiased and substantially increases the efficiency over other methods.

• The KIPS Transactions:PartD
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• v.17D no.3
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• pp.185-192
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• 2010

In sensor network environments, each sensor measures the physical environments according to the sampling period, and transmits a sensor reading to the base station. Thus, the sample period influences against importance resources such as a network bandwidth, and a battery power. In this paper, we propose new adaptive sampling technique that adjusts the sampling period of a sensor with respect to the features of sensor readings. The proposed technique predicts a future readings based on KF (Kalman Filter). By using the differences of actual readings and estimated reading, we identify the importance of sensor readings, and then, we adjust the sampling period according to the importance. In our experiments, we demonstrate the effectiveness of our technique.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.41 no.5
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• pp.381-389
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• 2017

The kernel density was determined based on sampling points obtained in a Markov chain simulation and was assumed to be an important sampling function. A Kriging metamodel was constructed in more detail in the vicinity of a limit state. The failure probability was calculated based on importance sampling, which was performed for the Kriging metamodel. A pre-existing method was modified to obtain more sampling points for a kernel density in the vicinity of a limit state. A stable numerical method was proposed to find a parameter of the kernel density. To assess the completeness of the Kriging metamodel, the possibility of changes in the calculated failure probability due to the uncertainty of the Kriging metamodel was calculated.

• Journal of the Korean Operations Research and Management Science Society
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• v.22 no.4
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• pp.1-16
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• 1997

The cell loss probability recommended in the B-ISDN is in the range $10^{-8}~10^{-12}$. When a simulation technique is used to analyze the performance of the ATM node, an enormous amount of computer processing time is required. In this study, we derive an importance sampling simulation technique that can be used to evaluate the performance of the ATM node very quickly, that is, the probability that the queue size at the ATM node reaches some large value N. The simulation results show that the backlog probability obtianed by the importance saimpling simulation is very close to that obtained by the ordinary simulation and the computer time can be reduced drastically by the importance sampling simulation.

• Structural Engineering and Mechanics
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• v.84 no.3
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• pp.323-335
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• 2022

The main idea of the framework is to seamlessly combine a reasonably accurate and fast surrogate model with the importance sampling strategy. Developing a surrogate model for predicting structures' dynamic responses is challenging because it involves high-dimensional inputs and outputs. For this purpose, a novel surrogate model based on cutting-edge deep learning architectures specialized for capturing temporal relationships within time-series data, namely Long-Short term memory layer and Transformer layer, is designed. After being properly trained, the surrogate model could be utilized in place of the finite element method to evaluate structures' responses without requiring any specialized software. On the other hand, the importance sampling is adopted to reduce the number of calculations required when computing the failure probability by drawing more relevant samples near critical areas. Thanks to the portability of the trained surrogate model, one can integrate the latter with the Importance sampling in a straightforward fashion, forming an efficient framework called TTIS, which represents double advantages: less number of calculations is needed, and the computational time of each calculation is significantly reduced. The proposed approach's applicability and efficiency are demonstrated through three examples with increasing complexity, involving a 1D beam, a 2D frame, and a 3D building structure. The results show that compared to the conventional Monte Carlo simulation, the proposed method can provide highly similar reliability results with a reduction of up to four orders of magnitudes in time complexity.

• Nuclear Engineering and Technology
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• v.49 no.6
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• pp.1172-1180
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• 2017

The application of Monte Carlo (MC) to large-scale fixed-source problems has recently become possible with new hybrid methods that automate generation of parameters for variance reduction techniques. Two common variance reduction techniques, weight windows and source biasing, have been automated and popularized by the consistent adjoint-driven importance sampling (CADIS) method. This method uses the adjoint solution from an inexpensive deterministic calculation to define a consistent set of weight windows and source particles for a subsequent MC calculation. One of the motivations for source consistency is to avoid the splitting or rouletting of particles at birth, which requires computational resources. However, it is not always possible or desirable to implement such consistency, which results in inconsistent source biasing. This paper develops an original framework that mathematically expresses the coupling of the weight window and source biasing techniques, allowing the authors to explore the impact of inconsistent source sampling on the variance of MC results. A numerical experiment supports this new framework and suggests that certain classes of problems may be relatively insensitive to inconsistent source sampling schemes with moderate levels of splitting and rouletting.