Journal of Systems Engineering and Electronics ›› 2010, Vol. 21 ›› Issue (2): 281-286.doi: 10.3969/j.issn.1004-4132.2010.02.018

• CONTROL THEORY AND APPLICATION • Previous Articles     Next Articles

New algorithm of exact sampling with directional threshold

Linfeng Shen?and Yan Lin   

  1. School of Automation,Beihang University,Beijing 100191,P.R.China
  • Online:2010-04-26 Published:2010-01-03
  • Contact: Linfeng Shen

Abstract:

Although it is known that exact sampling algorithm is
easy to construct and less sensitive to noise,the samples distri-
bution of the algorithm deviates from the target states distribution
due to the local dependent coupling problem.A new algorithm,
named exact sampling with directional threshold(ES-DT)is intro-
duced.The main advantage of the new algorithm,in comparison
with the traditional exact sampling algorithm,is that it can control
the sampling with a rejection strategy in Markov chain during the
path growth,and closely approach the ideal distribution based on
maintaining the target density.Simulation experiments show the
effectiveness of the proposed algorithm.