Importance sampling for detection of scale problems
J. Scott Stadler, Sylvain Roy · IEEE Transactions on Communications · 1995
The application of importance sampling (E)to the problem of detecting random signals is considered. It is well known that conventional importance sampling (CIS) which uses a scaled IS density suffers from a dimensionality effect when it is used to simulate systems that detect a known signal in additive noise. Our fundamental result shows that CIS is guaranteed to give an IS gain when used to simulate the detection-of-scale problem. Further, a numerical example for the generalized Gaussian family is provided where the IS gain from CIS actually increases with the dimensionality of the problem.