Speeding up rare event simulations using Kriging models

A.K. Tyagi, X. Jonsson, T.G.J. Beelen, W.H.A. Schilders

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

1 Citation (Scopus)

Abstract

We consider the Importance Sampling Monte Carlo (ISMC) as a reference probability estimator for estimating very small probabilities in the context of analog circuits design. We propose a surrogate based hybrid ISMC method to accelerate the estimation of probabilities when the budget of simulations is limited. The Kriging model is used as a surrogate of the simulator because it provides the uncertainties around the predictions that are useful to obtain confidence bounds for any model predictions, and consequently for the probability estimators.

Original languageEnglish
Title of host publication2017 IEEE 21st Workshop on Signal and Power Integrity, SPI 2017 - Proceedings
Place of PublicationPiscataway
PublisherInstitute of Electrical and Electronics Engineers
Number of pages4
ISBN (Electronic)978-1-5090-5616-3
DOIs
Publication statusPublished - 7 Jun 2017
Event21th IEEE Workshop on Signal and Power Integrity (SPI 2017), 7-10 May 2017, Lake Maggiore (Baveno), Italy - Lake Maggiore (Baveno), Italy
Duration: 7 May 201710 May 2017
http://www.spi2017.org/home.asp

Workshop

Workshop21th IEEE Workshop on Signal and Power Integrity (SPI 2017), 7-10 May 2017, Lake Maggiore (Baveno), Italy
Abbreviated titleSPI 2017
CountryItaly
CityLake Maggiore (Baveno)
Period7/05/1710/05/17
Internet address

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