Publication Details

This paper was originally published as: Qi, H, Wei, YC & Wei, L, An Optimal Importance Sampling Method for a Transient Markov System, Global Telecommunications Conference, 2001. GLOBECOM '01. 25-29 November 2001, 2, 1152-1156. Copyright IEEE 2001.


In this paper an optimal importance sampling (IS) method is derived for a transient markov system. Several propositions are presented. It is showned that the optimal IS method is unique, and it must converge to the standard Monte Carlo (MC) simulation method when the sample path length approaches infinity. Therefore, it is not the size of the state space of the Markov system, but the sample path length, that limits the efficiency of the IS method. Numerical results are presented to support the argument.