Combined variance reduction techniques in fully sequential selection procedures

In the past several decades, many ranking‐and‐selection (R&S) procedures have been developed to select the best simulated system with the largest (or smallest) mean performance measure from a finite number of alternatives. A major issue to address in these R&S problems is to balance the trade‐off between the effectiveness (ie, making a correct selection with a high probability) and the efficiency (ie, using a small total number of observations). In this paper, we take a frequentist's point of view by setting a predetermined probability of correct selection while trying to reduce the total sample size, that is, to improve the efficiency but also maintain the effectiveness. In particular, in order to achieve this goal, we investigate combining various variance reduction techniques into the fully sequential framework, resulting in different R&S procedures with either finite‐time or asymptotic statistical validity. Extensive numerical experiments show great improvement in the efficiency of our proposed procedures as compared with several existing procedures.     

Augmented nested sampling for stochastic programs with recourse and endogenous uncertainty

We propose a novel simulation‐based approach for solving two‐stage stochastic programs with recourse and endogenous (decision dependent) uncertainty. The proposed augmented nested sampling approach recasts the stochastic optimization problem as a simulation problem by treating the decision variables as random. The optimal decision is obtained via the mode of the augmented probability model. We illustrate our methodology on a newsvendor problem with stock‐dependent uncertain demand both in single and multi‐item (news‐stand) cases. We provide performance comparisons with Markov chain Monte Carlo and traditional Monte Carlo simulation‐based optimization schemes. Finally, we conclude with directions for future research.     

GNSS接收机离散化处理对解扩性能的影响

建立扩频信号防混叠滤波、采样、量化与解扩输出关系的数学解析模型,推导得到解扩输出信噪比的解析表达式。分析与仿真表明,当量化位数大于等于4 bit,解扩得到总的信噪比损失可以分解为由量化引起的损失和滤波加采样引起损失的乘积,且量化器最优限幅系数只与量化位数相关;当量化位数小于4 bit时,信噪比损失在一定条件下可近似为量化损失和滤波加采样损失的乘积。当量化位数大于4 bit、滤波器带宽大于5倍码率、采样频率大于4倍码率时,再增大上述参数引起的信噪比损失波动小于0.05 dB,对解扩性能提升不明显。该结论可为实用型全球导航卫星系统接收机前端离散化处理优化设计提供理论指导。     

盲稀疏度下基于粒子滤波的稀疏信号重构

针对现有贪婪迭代类压缩感知重构算法对非高斯量测噪声抵抗性差的问题,提出一种盲稀疏度下基于粒子滤波的稀疏信号重构算法。该算法首先将鲁棒性更高的Huber损失函数替代常规的二次损失函数,用来增加对非高斯噪声的抵抗能力;并且引入粒子滤波实现对原始信号的最优估计,以削弱量测噪声的影响;最后在信号稀疏度未知的条件下,结合稀疏度自适应匹配追踪算法实现盲稀疏度下的原信号重构。理论分析和仿真结果表明,所提算法可以有效抵抗因非高斯噪声干扰或稀疏度未知导致的重构精度降低,且重构性能优于现有典型贪婪迭代类算法。     

采用局域像素匹配的随机抽样一致改进算法

为提高图像拼接的配准精度和稳健性,提出基于局域像素匹配的随机抽样一致改进算法。在完成尺度不变特征变换算子或其他算子图像特征提取、特征匹配之后,利用独立于特征匹配点的局域像素,通过参考图像局域像素与映射的待拼接图像局域像素匹配,优选4对最佳特征匹配点,确定最佳单应矩阵。实验结果表明:与随机抽样一致经典算法相比,该方法未明显增加计算耗时,单应矩阵更准确,图像拼接稳健性更好。     

Variable sampling plans for normal distribution indexed by Taguchi's loss function

Taguchi has presented an approach to quality improvement in which reduction of deviation from the target value is the guiding principle. In this approach any measured value x of a product characteristic X brings a loss to consumer in general, where the loss is expressed as a quadratic form with respect to the difference between the measured value x and the target value T of a product characteristic. Then, it is natural to reject the lot which may bring a large loss to consumer. This concept induces us to construct new variable sampling plans based on the Taguchi's loss criterion. In this article, a design procedure of the sampling plans for assuring the loss in the Taguchi's method is proposed. Some numerical results based on the proposed design procedures are illustrated. © 1997 John Wiley & Sons, Inc. Naval Research Logistics 44: 591–603 (1997)     

基于重要性采样的空时分组码快速仿真系统设计

高效的仿真技术对研究提高军事通信的性能具有重要意义。针对传统的蒙特卡罗仿真时间长的问题,提出了基于重要性采样的空时分组码高效仿真方法,给出了仿真模型和实现流程。仿真和分析结果表明本方法在运行较少的时间内能够获得较好的误码性能。采用该高效仿真方法可以加快军事通信技术研究的进程。     

Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models

Quantile is an important quantity in reliability analysis, as it is related to the resistance level for defining failure events. This study develops a computationally efficient sampling method for estimating extreme quantiles using stochastic black box computer models. Importance sampling has been widely employed as a powerful variance reduction technique to reduce estimation uncertainty and improve computational efficiency in many reliability studies. However, when applied to quantile estimation, importance sampling faces challenges, because a good choice of the importance sampling density relies on information about the unknown quantile. We propose an adaptive method that refines the importance sampling density parameter toward the unknown target quantile value along the iterations. The proposed adaptive scheme allows us to use the simulation outcomes obtained in previous iterations for steering the simulation process to focus on important input areas. We prove some convergence properties of the proposed method and show that our approach can achieve variance reduction over crude Monte Carlo sampling. We demonstrate its estimation efficiency through numerical examples and wind turbine case study.     

复杂网络波动扩展衍射欠定采样预测模型

复杂网络环境中对网络波动的准确预测可以有效监测网络环境,防范网络入侵和拥堵。由于在复杂网络受到干扰的可能性更大,其网络波动具有扩展衍射特征,不可预测性强。传统方法中采用自回归移动平均模型进行复杂网络波形预测算法设计,在波动信号的时频重叠调制过程中未能纳入杂波先验信息,波动序列的扩展衍射特征形成欠定采样,预测效果不好。提出基于空间扩展自回归移动平均模型的复杂网络波动欠定预测算法,采用LTE线性均衡滤波,进行降噪去除杂波干扰,提取波动序列的扩展衍射特征形成欠定采样样本序列,设计网络波动时空序列扩展衍射点阵,准确预测网络波动的参数信息。以病毒入侵,网络监听和拥塞堵塞等波动产生模型为实例,进行仿真实验,结果表明该算法具有较高预测精度,监测点波动误差较小,实现复杂网络波动状态的动态跟踪和评估。     

协方差压缩感知逆合成孔径雷达成像技术

为解决低信噪比条件下短观测时间雷达成像问题,提出一种基于回波协方差矩阵处理的压缩感知逆合成孔径雷达成像技术。该方法构建了回波协方差矩阵层面下的压缩感知问题模型,并通过特定的线性变换降低环境噪声对成像结果的影响。在仿真实验中,通过处理短观测时间和低信噪比条件下的模拟回波数据,该方法获得比传统压缩感知方法像质更好、对比度更强的目标成像结果。同时,其成像结果的目标背景比和背景噪声能量两个雷达图像评价指标都优于传统方法,进一步验证了该方法的有效性。