importance sampling method
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2021 ◽  
Vol 13 (22) ◽  
pp. 12776
Qin Xia ◽  
Yi Chai ◽  
Haoran Lv ◽  
Hong Shu

Electric automated vehicles are zero-emission, energy-saving, and environmentally friendly vehicles, and testing and verification is an important means to ensure their safety. Because of the scarcity of dangerous scenarios in natural driving roads, it is required to conduct accelerated tests and evaluations for electric automated vehicles. According to the scenario data of the natural road in cut-in conditions, we used the kernel density estimation method to calculate the probability distribution of the scenario parameters. Additionally, we used the Metropolis–Hastings algorithm to sample based on the probability distribution of the parameters, and the Euclidean distance was combined with the paired combination to accelerate the simulation test process. The critical scenarios were screened out by the safety indicator, and the feature distribution of the critical scenario parameters was analyzed based on the Euclidean distance clustering method, so as to design importance sampling parameters and carry out importance sampling. The study obtained the distribution characteristics of critical scenario parameters under cut-in conditions and found that the importance sampling method can accelerate the test under the condition of ensuring that the relative error is small, and the improved accelerated simulation method makes the overall calculation amount smaller.

2021 ◽  
Vol 14 (8) ◽  
pp. 340
Francois-Michel Boire ◽  
R. Mark Reesor ◽  
Lars Stentoft

This paper proposes a new method for pricing American options that uses importance sampling to reduce estimator bias and variance in simulation-and-regression based methods. Our suggested method uses regressions under the importance measure directly, instead of under the nominal measure as is the standard, to determine the optimal early exercise strategy. Our numerical results show that this method successfully reduces the bias plaguing the standard importance sampling method across a wide range of moneyness and maturities, with negligible change to estimator variance. When a low number of paths is used, our method always improves on the standard method and reduces average root mean squared error of estimated option prices by 22.5%.

2021 ◽  
Vol 23 (3) ◽  
pp. 559-568
Zhiming Wang ◽  
Hao Yuan

The purpose of this paper is to propose a general precision allocation method to improve machining performance of CNC machine tools based on certain design requirements. A comprehensive error model of machine tools is established by using the differential motion relation of coordinate frames. Based on the comprehensive error model, a reliability model is established by updating the primary reliability with an advanced importance sampling method, which is used to predict the machining accuracy reliability of machine tools. Besides, to identify and optimize geometric error parameters which have a great influence on machining accuracy reliability of machine tools, the sensitivity analysis of machining accuracy is carried out by improved first-order second-moment method. Taking a large CNC gantry guide rail grinder as an example, the optimization results show that the method is effective and can realize reliability optimization of machining accuracy.

2021 ◽  
Vol 31 (2) ◽  
Topi Paananen ◽  
Juho Piironen ◽  
Paul-Christian Bürkner ◽  
Aki Vehtari

AbstractAdaptive importance sampling is a class of techniques for finding good proposal distributions for importance sampling. Often the proposal distributions are standard probability distributions whose parameters are adapted based on the mismatch between the current proposal and a target distribution. In this work, we present an implicit adaptive importance sampling method that applies to complicated distributions which are not available in closed form. The method iteratively matches the moments of a set of Monte Carlo draws to weighted moments based on importance weights. We apply the method to Bayesian leave-one-out cross-validation and show that it performs better than many existing parametric adaptive importance sampling methods while being computationally inexpensive.

Alexander L Krall ◽  
Michael E Kuhl ◽  
Shanchieh J Yang

Inherent vulnerabilities in a cyber network’s constituent machine services can be exploited by malicious agents. As a result, the machines on any network are at risk. Security specialists seek to mitigate the risk of intrusion events through network reconfiguration and defense. When dealing with rare cyber events, high-quality risk estimates using standard simulation approaches may be unattainable, or have significant attached uncertainty, even with a large computational simulation budget. To address this issue, an efficient rare event simulation modeling and analysis technique, namely, importance sampling for cyber networks, is developed. The importance sampling method parametrically amplifies certain aspects of the network in order to cause a rare event to happen more frequently. Output collected under these amplified conditions is then scaled back into the context of the original network to provide meaningful statistical inferences. The importance sampling methodology is tailored to cyber network attacks and takes the attacker’s successes and failures as well as the attacker’s targeting choices into account. The methodology is shown to produce estimates of higher quality than standard simulation with greater computational efficiency.

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