Importance sampling for Markovian tandem queues using subsolutions: Exploring the possibilities

We consider importance sampling simulation for estimating the probability of reaching large total number of customers in an (Formula presented.) tandem queue, during a busy cycle of the system. Our main result is a procedure for obtaining a family of asymptotically efficient changes of measure based on subsolutions. We explicitly show these...

Efficient Assessment of Electricity Distribution Network Adequacy with the Cross-Entropy Method

Identifying future congestion points in electricity distribution networks is an important challenge distribution system operators face. A proven approach for addressing this challenge is to assess distribution grid adequacy using probabilistic models of future demand. However, computational cost can become a severe challenge when evaluating...

Extreme gusts and their role in wind turbine design

Wind turbines are the largest rotating machines on the planet, operating in some of the most remote and hostile areas. During a lifespan of several decades, they have to withstand storms, waves, and gusts (and preferably produce electricity in the process). Yet, designers cannot make them too strong. Every additional kilogram of mass has to be...

Sworn testimony of the model evidence: Gaussian Mixture Importance (GAME) sampling

What is the “best” model? The answer to this question lies in part in the eyes of the beholder, nevertheless a good model must blend rigorous theory with redeeming qualities such as parsimony and quality of fit. Model selection is used to make inferences, via weighted averaging, from a set of K candidate models, (Formula presented.), and help...

Maximum entropy estimation via Gauss-LP quadratures

We present an approximation method to a class of parametric integration problems that naturally appear when solving the dual of the maximum entropy estimation problem. Our method builds up on a recent generalization of Gauss quadratures via an infinite-dimensional linear program, and utilizes a convex clustering algorithm to compute an...

Importance sampling of severe wind gusts

An important problem that arises during the design of wind turbines is estimating extreme loads with sufficient accuracy. This is especially difficult during iterative design phases when computational resources are scarce. Over the years, many methods have been proposed to extrapolate extreme load distributions from relatively short time series...

Compressive Sensing and Fast Simulations: Applications to Radar Detection

In most modern high-resolution multi-channel radar systems one of the major problems to deal with is the huge amount of data to be acquired, processed and/or stored. But why do we need all these data? According to the well known Nyquist-Shannon sampling theorem, real signals have to be sampled at at least twice the signal bandwidth to prevent...