Estimation and Tracking of a Ballistic Target Using Sequential Importance Sampling Method

Author(s):  
J. Ramnarayan ◽  
J. P. Anita ◽  
P. Sudheesh
2011 ◽  
Vol 88-89 ◽  
pp. 554-558 ◽  
Author(s):  
Bin Wang

An improved importance sampling method with layer simulation optimization is presented in this paper. Through the solution sequence of the components’ optimum biased factors according to their importance degree to system reliability, the presented technique can further accelerate the convergence speed of the Monte-Carlo simulation. The idea is that the multivariate distribution’ optimization of components in power system is transferred to many steps’ optimization based on importance sampling method with different optimum biased factors. The practice is that the components are layered according to their importance degree to the system reliability before the Monte-Carlo simulation, the more forward, the more important, and the optimum biased factors of components in the latest layer is searched while the importance sampling is carried out until the demanded accuracy is reached. The validity of the presented is verified using the IEEE-RTS79 test system.


2019 ◽  
Vol 23 ◽  
pp. 893-921
Author(s):  
H. Chraibi ◽  
A. Dutfoy ◽  
T. Galtier ◽  
J. Garnier

In order to assess the reliability of a complex industrial system by simulation, and in reasonable time, variance reduction methods such as importance sampling can be used. We propose an adaptation of this method for a class of multi-component dynamical systems which are modeled by piecewise deterministic Markovian processes (PDMP). We show how to adapt the importance sampling method to PDMP, by introducing a reference measure on the trajectory space. This reference measure makes it possible to identify the admissible importance processes. Then we derive the characteristics of an optimal importance process, and present a convenient and explicit way to build an importance process based on theses characteristics. A simulation study compares our importance sampling method to the crude Monte-Carlo method on a three-component systems. The variance reduction obtained in the simulation study is quite spectacular.


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