System and method for estimating probabilities of events

Abstract

A dual adaptive importance-sampling system and method is provided that can estimate the probability of events by combining dual complementary importance-sampling simulations. The present invention exploits the ability to determine an optimal biased pdf using an iterative procedure that requires relatively little a priori knowledge of how to bias. Hence, the present invention is particularly suited for evaluating the BERs and/or WERs of coded communication and storage systems, and is generally applicable to arbitrarily chosen codes. When applied to coded communication and storage systems, the present invention provides a versatile technique for the fast and accurate estimation of BERs and WERs of FEC codes down to values of 10−20 or lower.

Description

REFERENCE TO RELATED APPLICATIONS

This application claims the benefit of provisional U.S. Patent Application No. 60/486,970, filed Jul. 14, 2003.

GOVERNMENT RIGHTS

This invention was made with government support under Grant Nos. MDA904-01-C0940/Z949001 and MDA904-02-C0428/Z956801 awarded by the Department of Defense. The government has certain rights in this invention.

BACKGROUND OF THE INVENTION

1. Field of the Invention

The present invention relates to estimating the probabilities of events and, more particularly, to a dual adaptive importance-sampling system and method.

2. Background of the Related Art

In the field of communications engineering, the performance of forward error correction (FEC) codes in digital communication systems is almost exclusively studied and compared on the basis of performance curves—plots of bit-error rate (BER) and/or word-error rate (WER) versus the information signal power to noise power ratio (SNR).

The exact analytical evaluation of FEC code performance curves under a specific decoding scheme is extremely difficult to perform and computationally intractable, even for moderately long codes, say with more than 30 to 40 information bits per codeword.

Approximate performance of FEC codes under certain decoding schemes, in the form of lower and upper bounds, may be obtained analytically provided knowledge of the weight enumerator function (WEF) of the code is available: partial knowledge of the WEF in the form of the first non-trivial term may also suffice. In general, these bounds serve as very good approximations to the actual code performance at high SNR values. The quality of the approximations, however, is not very good at relatively moderate-to-low values of SNR. To make matters worse, unless the code belongs to one of the few classes of codes whose WEF is already known, such as the RS and BCH codes that still abound in practical FEC schemes, the computation of the code WEF or even the first non-trivial term is itself intractable, in a practical sense, for codes of practical size.

Thus, in general, for a large set of codes with parameters in the realm of current practical applicability (hundreds and thousands of bits long), it is impossible for FEC code researchers and developers to analytically obtain performance curves, either exact or in the form of bounds. Consequently, for some time now, the preferred methodology employed by communications engineers and researchers to study code performance has and continues to be based on performing Monte Carlo computer simulations or physical system experiments. For the simpler and less powerful codes, simulation software packages, such as Mathwork's MATLAB or Elanix's System View, provide communications oriented simulation tools (e.g., MATLAB's Communication ToolBox and SimuLink) that perform straight Monte Carlo simulation of BERs.

Monte Carlo simulations and physical system experiments, which are collectively referred to herein as “standard Monte Carlo techniques”, have been quite effective in obtaining performance curves down to BER values as low as approximately 10⁻⁷. These BERs are consistent with performance requirements for such communication systems as ADSL and wireless phone systems. Attempting to obtain performance curves for lower values of BER, however, continues to be a challenge even with current computing capabilities because of the inordinate amounts of time required—on the order of months or years—to obtain meaningful results at such low BER values.

Recent technological advancements have drastically altered the scenario in the communications industry. The industry has witnessed an explosion in communications speeds and capacity of storage media, in addition to improvements in the overall quality of communications. This has led service providers to impose more stringent requirements on the error rate of communication systems, e.g., current optical fiber communication (OFC) systems operate at design BERs in the range of 10⁻¹² to 10⁻¹⁵. Unfortunately, standard Monte Carlo techniques prove to be inadequate for evaluating FEC codes and decoders at such low BER values.

In an attempt to extend the range of standard Monte Carlo techniques and provide some assistance in the evaluation of higher performing systems, researchers have called upon the services of supercomputers or system experiments. Both of these approaches are characterized by unduly long performance time requirements and, even then, the best reliable BERs that have been achieved are on the order of 10⁻¹⁰ or 10⁻¹¹ and are acquired over time spans measured in months. This is very expensive to industry and researchers in terms of person hours and computer time.

The evaluation of BERs for an actual physical system, e.g., an exploratory development prototype, invariably involves the use of a bit-error-rate tester (BERT). BERTs designed to operate at the extremely high speeds of 40-48 giga-bits per second (Gbps) have been recently introduced in the market. They are capable of operating at ‘full line rate’, i.e., these BERTs can count each and every transmitted (and received) bit at speeds of up to 40-48 Gbps. With such devices, one can easily transmit and receive about 10¹⁵ bits in a period of about 2.5×10⁴ seconds (i.e., <7 hours), thus enabling the evaluation of BERs reliably at least down to 10⁻¹³ (100/total number of bits) within a relatively short period of time. However, such BERTs are extremely expensive, costing on the order of $500,000.

In coded communication systems with long codes, the range of word-error rates (WERs) that can be reliably evaluated is less than the uncoded system by a factor equal to the length of the code. For example, consider a code of length n=1.1×10³, with k=10³ information bits and a rate of r=0.909, employed on a communication system operating at an information transfer rate of 40 Gbps (i.e., a line rate of 40/r=44 Gbps). Transmission and reception of 10¹⁵ information bits would require about 2.5×10⁴ seconds. However, 10¹⁵ information bits correspond to only 10¹² codewords. Thus, a reliable estimate of WER only down to 10⁻¹⁰ is possible. Further, if one assumes that every word that is not correctly decoded results in about 10 information bits in error (the average number of information bits in error per codeword in error is dependent on the minimum distance of the code and other code properties), one realizes that the transmission of 10¹⁵ information bits is capable of providing us with reliable BERs only down to 10⁻¹², instead of the 10⁻¹³ that was possible in the uncoded system. The situation is further worsened as the code length increases. In addition to the above problem, the use of high-speed BERTs in conjunction with system experiments for evaluating the performance of coded communication systems is severely limited by a host of other constraints.

First, evaluation of a code at such high speeds requires that encoder/decoder hardware implementations capable at operating at the above-mentioned speeds be available. The fastest encoder/decoders available today operate around 1 Gbps. Consequently, practical coded communications systems that operate at speeds in the range of 10-40 Gbps require the multiplexing/demultiplexing of FEC encoder/decoders at the transmitter and receiver, thus increasing the complexity of the system. Further, fabricating encoder/decoders for any code that needs to be evaluated is generally not economically feasible because of the cost of manufacturing high-speed VLSI devices and the almost universal approach of software implementation for initial design and evaluation. To complicate matters even more, the new class of decoders use soft-information to perform soft-decision decoding. This information is obtained by multi-threshold-decisioning on the received signal, and is difficult to extract—commercially impractical—at 10-40 Gbps operating speeds. This virtually eliminates the possibility of evaluating soft-decision decoding performance of FEC codes using high-speed BERTs.

In addition, the high-speed BERTs are themselves quite expensive, i.e., the cost of the Ixia 2.4 Gbps BERT is greater than $10,000.00. BERTs capable of operating at higher speeds are even more expensive (e.g., about $500,000 for the 40-48 Gbps model). The costs of the BERT, of fabricating the encoder/decoders, of the auxiliary equipment, and of setting up the test-bench to evaluate the code, becomes prohibitive, making it practically impossible for researchers and small companies to evaluate their codes to the desired low values of BER using a physical system setup employing BERTs.

A variety of simulation techniques have been developed to evaluate FEC codes to progressively smaller BER values. One of the most promising areas in this context has been the study of importance sampling (IS) techniques. Importance sampling is based on increasing the frequency of occurrence of very low (important) error events defined by the channel noise probability density function (pdf) by generating these important events more frequently from a related biased pdf. However, for importance sampling to be effective for evaluating FEC codes and decoders, one must choose a biased pdf using some knowledge of which noise realizations are most likely to generate errors at each desired low BER.

The task of determining an appropriate biased pdf is FEC code specific. Most of the proposed techniques for evaluating FEC codes via importance sampling rely on using some code-property to obtain a rough estimate of the region in noise space that is a major contribution to the BER. For example, some techniques exploit the knowledge of the minimum-weight codewords to determine a suitable biased pdf. However, as discussed above, this knowledge is practically unobtainable for codes in general.

One technique, described in T. Yamane and Y. Katayama, “Bit Error Rate Analysis on Iterative Two-Stage Decoding of Two-Dimensional Codes by Importance Sampling”, Proc. 2003 IEEE Int'l. Conf. Commun., 11-15 May 2003, Anchorage, Ak., USA, uses knowledge of the error-correcting capability of codes (a code parameter that may not be known in general) in order to obtain a suitable biased pdf for IS. This technique is restricted to hard-decision decoding, and is particularly suited only for obtaining performance curves for serially concatenated coding schemes (product codes), where it is possible to easily characterize the error correcting capability of the constituent codes.

Another technique, described in B. Xia and W. E. Ryan, “On importance sampling for linear block codes”, Proc. 2003 IEEE Int'l. Conf. Commun., 11-15 May 2003, Anchorage, Ak., USA, use the regular structure of the bipartite graphs of certain codes to determine the biased pdf. For every codeword that is received, the BER evaluation using this IS technique is performed for only a single bit-position in the codeword. Standard Monte Carlo techniques, on the other hand, evaluate the BER for all n bit-positions for every received codeword of length n.

Hence, for the transmission and decoding of the same number of codewords (which can be assumed to take the same time for both IS as well as standard Monte Carlo techniques), the standard Monte Carlo technique evaluates n times as many bits as this IS technique. This is referred to as the ‘divide-by-n’ problem. This divide-by-n problem is likely to affect the efficiency of this IS technique relative to the standard Monte Carlo techniques for codes where n becomes large. In addition, this IS technique is predicated on the regular structure in the bipartite graph of codes, which justifies the analysis of a single bit-position in the code to estimate the BER of the entire code. A regular bipartite graph structure is obtained from regular low-density parity-check (LDPC) codes, but is usually not consistent with irregular LDPC codes or codes in general.

Accordingly, the IS techniques described above are inefficient and/or impractical for very-low-BER-requirement evaluation of arbitrarily chosen codes. Thus, there is clearly a technological need for a more time-efficient simulation tool for evaluating the BERs/WERs of coded communication and storage systems, as well as a tool for evaluating the probabilities of other rare events.

SUMMARY OF THE INVENTION

An object of the invention is to solve at least the above problems and/or disadvantages and to provide at least the advantages described hereinafter.

Therefore, an object of the present invention is to provide a system and method for evaluating very rare events.

Another object of the present invention is to provide a system and method for estimating the probabilities of very rare events.

Another object of the present invention is to provide a system and method for estimating the probabilities of very rare events in coded communications systems.

Another object of the present invention is to provide a system and method for evaluating very low BERs/WERs of FEC codes.

Another object of the present invention is to provide a multicanonical Monte Carlo simulation system and method for evaluating very low BERs/WERs of FEC codes.

Another object of the present invention is to provide a dual adaptive importance sampling system and method for evaluating very low BERs/WERs of FEC codes.

Another object of the present invention is to provide a system and method for combining the results of constrained and unconstrained importance-sampling simulations using a scaling technique.

To achieve at least the above objects, in whole or in part, there is provided a method of estimating the probability of occurrence of an event (E), including performing an adaptive unconstrained estimation of an optimal biased distribution for a multidimensional random variable (z) defined on a sample space (Γ), performing an importance-sampling (IS) simulation using the optimal biased distribution for z to yield a first result, performing an adaptive constrained estimation of an optimal biased distribution for z over regions of Γ where E occurs, performing an IS simulation using the optimal biased distribution for z, over regions of Γ where E occurs, to yield a second result, and estimating the probability of the occurrence of E based on the first and second results.

To achieve at least the above objects, in whole or in part, there is also provided a method of estimating the probability of occurrence of an event (E), given a known probability distribution (ρ(z)) of a multi-dimensional random variable (z) defined on a sample space (Γ), including determining a scalar mapping (V) from the multi-dimensional sample space (Γ) to a single-dimensional space, defining bins that partition a first range of values of V(Γ_V^u), such that values of V not in the range of values Γ_V^u have a negligible probability of occurrence, performing adaptive unconstrained Metropolis simulations to iteratively estimate an optimal biased distribution for z, performing an IS simulation using the optimal biased distribution for z and an unconstrained Metropolis random walk to yield a first result, defining bins that partition a second range of values of V (Γ_V^c), such that values of V not in the range of values Γ_V^c have a negligible contribution to the probability of occurrence of E, performing adaptive constrained Metropolis simulations to iteratively estimate an optimal biased distribution for z over regions of Γ where E occurs, performing an IS simulation using the optimal biased distribution for z over regions of Γ where E occurs and a constrained Metropolis random walk to yield a second result, and estimating the probability of occurrence of E based on the first and second results.

To achieve at least the above objects, in whole or in part, there is also provided a program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps for estimating the probability of occurrence of an event (E), the method steps comprising performing an adaptive unconstrained estimation of an optimal biased distribution for a multi-dimensional random variable (z) defined on a sample space (Γ), performing an importance-sampling (IS) simulation using the optimal biased distribution for z to yield a first result, performing an adaptive constrained estimation of an optimal biased distribution for z over regions of Γ where E occurs, performing an IS simulation using the optimal biased distribution for z, over regions of Γ where E occurs, to yield a second result, and estimating the probability of the occurrence of E based on the first and second results.

To achieve at least the above objects, in whole or in part, there is also provided a program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps for estimating the probability of occurrence of an event (E), given a known probability distribution (ρ(z)) of a multi-dimensional random variable (z) defined on a sample space (Γ), the method steps comprising determining a scalar mapping (V) from the multi-dimensional sample space (Γ) to a single-dimensional space, defining bins that partition a first range of values of V (Γ_V^u), such that values of V not in the range of values Γ_V^u have a negligible probability of occurrence, performing adaptive unconstrained Metropolis simulations to iteratively estimate an optimal biased distribution for z, performing an IS simulation using the optimal biased distribution for z and an unconstrained Metropolis random walk to yield a first result, defining bins that partition a second range of values of V (Γ_V^c), such that values of V not in the range of values Γ_V^c have a negligible contribution to the probability of occurrence of E, performing adaptive constrained Metropolis simulations to iteratively estimate an optimal biased distribution for z over regions of Γ where E occurs, performing an IS simulation using the optimal biased distribution for z over regions of Γ where E occurs and a constrained Metropolis random walk to yield a second result, and estimating the probability of occurrence of E based on the first and second results.

To achieve at least the above objects, in whole or in part, there is also provided a system, comprising a processor programmed with computer readable program code for performing an adaptive unconstrained estimation of an optimal biased distribution for a multi-dimensional random variable (z) defined on a sample space (Γ), performing an importance-sampling (IS) simulation using the optimal biased distribution for z to yield a first result, performing an adaptive constrained estimation of an optimal biased distribution for z over regions of Γ where E occurs, performing an IS simulation using the optimal biased distribution for z, over regions of Γ where E occurs, to yield a second result, and estimating the probability of the occurrence of E based on the first and second results; and a user interface in communication with the processor.

To achieve at least the above objects, in whole or in part, there is also provided a method of combining a first result from an unconstrained importance-sampling (IS) simulation with a second result from a constrained IS simulation, comprising receiving the first result, receiving the second result, and scaling the second result to fit the first result to yield a scaling factor.

Additional advantages, objects, and features of the invention will be set forth in part in the description which follows and in part will become apparent to those having ordinary skill in the art upon examination of the following or may be learned from practice of the invention. The objects and advantages of the invention may be realized and attained as particularly pointed out in the appended claims.

BRIEF DESCRIPTION OF THE DRAWINGS

The invention will be described in detail with reference to the following drawings in which like reference numerals refer to like elements wherein:

FIG. 1 is a flowchart showing the main steps of a dual adaptive importance sampling (DAIS) method of estimating the probability of the occurrence of an event, in accordance with one embodiment of the present invention;

FIG. 2 is a flowchart showing a more detailed DAIS method of estimating the probability of the occurrence of an event, in accordance with a preferred embodiment of the present invention;

FIG. 3 is a flowchart of steps in one preferred method for performing adaptive unconstrained and constrained Metropolis simulations, in accordance with the present invention;

FIG. 4a is a plot showing an example of combining the results of unconstrained and constrained (before scaling) simulation results to obtain the scaling factor P(E) and the estimate p(V|E) P(E) of p(V, E) (constrained and after scaling), in accordance with the present invention;

FIG. 4b is a histogram G_k, k=1, . . . , M, of accumulated values of V belonging to Γ_V^u∩E generated during the unconstrained simulation for the example of FIG. 4a, in accordance with the present invention;

FIG. 5a is a plot showing a pdf of a scalar control quantity V, in accordance with the present invention;

FIG. 5b is a plot of BER and WER estimates obtained using the methods of the present invention; and

FIG. 6 is a block diagram of a system for estimating the probability of occurrence of events, in accordance with one embodiment of the invention.

DETAILED DESCRIPTION OF PREFERRED EMBODIMENTS

The system and method of the present invention can automatically determine the biased pdf by using an iterative procedure that requires relatively little a priori knowledge of how to bias. Hence, the present invention is particularly suited for evaluating the BERs and/or WERs of coded communication and storage systems, and is generally applicable to arbitrarily chosen codes. When applied to coded communication and storage systems, the system and method of the present invention provides a versatile technique for the fast and accurate estimation of BERs and WERs of FEC codes down to values of 10⁻²⁰ or lower. However, it should be appreciated that the system and method of the present invention can also be applied to the evaluation of other types of rare events.

The system and method of the present invention utilizes a technique hereinafter referred to as a “dual adaptive importance-sampling” (DAIS). The DAIS technique is based on the multicanonical Monte Carlo (MMC) technique, and is used to iteratively obtain approximate estimates of the optimal biased distribution on the underlying probability sample space (henceforth referred to as “sample space”) for a coded communications system in order to accurately compute, via dual complementary IS Metropolis random-walk simulations, the probability of occurrence of coded communication system events, such as received or decoder error, down to extremely low values.

FIG. 1 is a flowchart showing the main steps of a DAIS method of estimating the probability of the occurrence of an event, in accordance with one embodiment of the present invention. The method starts at step 100, where an adaptive unconstrained estimation of the optimal biased distribution of a multi-dimensional random variable (z) defined on the underlying sample space for the problem (Γ) is performed. The estimation is “unconstrained”, in that it is not constrained to specific regions of the sample space. Then, at step 110, an IS simulation is performed using the optimal biased distribution for z to yield a first result.

At step 120, an adaptive constrained estimation of the optimal biased distribution for z is performed. This estimation is “constrained”, in that it is constrained to regions of sample space where the rare event (E) is guaranteed to occur. Then, at step 130, an IS simulation is performed using the optimal biased distribution for z, given the occurrence of E, to yield a second result. At step 140, the first and second results are used to estimate the probability of the occurrence of E.

Although in the method of FIG. 1, the unconstrained estimation 100 and simulation 110 are shown as being performed before the constrained estimation 120 and simulation 130, it should be appreciated that the constrained estimation 120 and simulation 130 could be performed before unconstrained estimation 100 and simulation 110, while still falling within the scope of the present invention.

FIG. 2 is a flowchart showing a more detailed DAIS method of estimating the probability of the occurrence of an event, in accordance with a preferred embodiment of the present invention. The method starts at step 200, where the probability distribution (ρ(z)) of a multi-dimensional random variable (z) defined on a sample space (Γ), and the event E whose probability is to be estimated is specified.

As discussed above, z represents the multi-dimensional random variable defined on the underlying sample space, for the problem, with known probability distribution (pdf) ρ(z). The occurrence of E is function of the value of z, and perhaps, other factors. However, specific regions in sample space where E occurs are unknown apriori.

At step 210, a scalar mapping V=f(z) from the multi-dimensional sample space to a single-dimensional space (such as the real line or its subset) is chosen that is problem-specific and may often represent some form of distance measure on the sample space (such as the l₂-norm) or modifications of such measures. A desirable mapping represents an ordering of easy-to-define regions in the sample space based on the relative probability of occurrence of event E.

At step 215, Γ_V^u is set as the problem-specific significant range of V for the unconstrained simulation, such that values of V not in the range of values Γ_V^u have a negligible probability of occurrence. At step 215, the region Γ_V^u is also partitioned into a large number (M) of equal-width bins.

At step 220, adaptive unconstrained Metropolis simulations are performed to iteratively estimate the optimal biased distribution for z, i.e., ρ^j(z)→ρ*(z). In this step, the Metropolis random-walk at each iteration is not constrained to specific regions of sample space (and equivalently regions of Γ_V^u). Then, at step 230, ρ*(z) is used to perform an IS simulation using the unconstrained Metropolis random-walk to obtain estimates of the distributions p(V) and p(V, E) from histograms H_k and G_k, k=1, . . . , M, generated from accumulated values of V belonging to Γ_V^u and Γ_V^u∩E, respectively.

At step 235, Γ_V^c is set as the problem-specific significant range of V for the constrained simulation, such that values of V not in the range of values Γ_V^c have a negligible contribution to the probability of occurrence of E. Since P(E) is unknown a priori, Γ_V^c has to be set in an ad-hoc fashion, and may have to be modified by trial and error. At step 235, the region Γ_V^c is also partitioned into a large number (M) of equal-width bins. Then, at step 240, adaptive constrained simulations are performed to iteratively estimate the optimal biased distribution for z given E, i.e., ρ^j(z|E)→ρ*(z|E). In this step, the Metropolis random-walk at each iteration is constrained to regions of sample space (and equivalently regions of Γ_V^c) where event E is guaranteed to occur. Then, at step 250, ρ*(z|E) is used to perform an IS simulation using the constrained Metropolis random-walk to obtain an estimate of the distribution p(V|E) from the histogram H_k, k=1, . . . , M, generated from accumulated constrained values of V belonging to Γ_V^c.

The results of the constrained and unconstrained IS Metropolis simulations are then combined at step 260 by scaling the estimate of p(V|E), obtained from the constrained simulation (step 250), to fit the estimate of p(V, E), obtained from the unconstrained simulation (step 230), over the range of values of V where both estimates are sufficiently reliable. This range is problem-specific, but is typically defined by those bins of Γ_V^u that have a large fraction of accumulated values of V belonging to the event E during the unconstrained simulation.

The scaling factor then provides the initial estimate of P(E) via p(V, E)=p(V|E)P(E) over the range of values of V where both estimates are sufficiently reliable. Finally, at step 270, the product p(V|E)P(E) is used as a more reliable estimate of p(V, E) for all V, and one integrates p(V|E)P(E) over Γ_V^c to obtain the better estimate of P(E).

As shown in FIGS. 1 and 2, and as described above, the DAIS method of the present invention performs the adaptive Metropolis simulations twice, under unconstrained and constrained assumptions on the generated simulation values for z, then combines both results to estimate the probability of the desired event.

FIG. 3 is a flowchart of steps in one preferred method for performing steps 220 and 240 of FIG. 2 (the adaptive unconstrained and constrained Metropolis simulations, respectively). The method starts at step 300, where an initial distribution for V over all the bins of Γ_V^u or Γ_V^c, for unconstrained or constrained simulations, respectively, is set. A natural choice is the uniform distribution, i.e., P_kⁱ=M⁻¹, k=1, . . . , M, where the subscript represents the bin number and the superscript represents the iteration number.

Then, at step 310, a Metropolis algorithm is used to generate a random-walk in the sample space Γ according to the distribution ρ^j(z)∞ρ(z)/P_k^j for all z such that f(z) falls in the k^th bin of Γ_V^u or Γ_V^c. The method then proceeds to step 320, where a histogram is generated of V=f(z), i.e., H_k^j, k=1, . . . , M, over all the bins of Γ_V^u or Γ_V^c based on the values of z generated by the Metropolis random-walk. At step 330, a new estimate for the distribution of V as P_k^j+1+φ(P_k^j,P_k−1^j,P_k−1^j−1,H_k^l,H_k−1^l; l=0, 1, . . . , j) is obtained, where φ denotes a suitably defined function.

At step 340, it is determined if the histogram of V at the j^th iteration is approximately uniform, i.e., H_k^j≈H_m^j, ∀ k,mε{1, . . . , M}, or equivalently, when P_k^j+1≈P_k^j, ∀ kε{1, . . . , M}. If the histogram is uniform, then the method proceeds to step 350. Otherwise, the method jumps to step 370.

At step 350, P_k^∞=P_k^j+1, ∀ kε{1, . . . , M} and ρ*(z)=ρ(z)/(cP_k^∞) is set as the optimal biased distribution of z for all z such that f(z) falls in the k^th bin of Γ_V^u or Γ_V^c, where c is chosen such that ∫ρ*(z)dz=1. Specific examples of the update rule in step 350 are: $P_k^{j+1}=\frac{P_{k-1}^{j+1}{P}_k^j}{P_{k-1}^j}{\left(\frac{H_k^j}{H_{k-1}^j}\right)}^{{\hat{g}}_{k-1}^j},\mathrm{where}{\hat{g}}_{k-1}^j\frac{g_{k-1}^j}{\sum _{l=1}^j{g}_{k-1}^l}\mathrm{and}{g}_{k-1}^l=\frac{H_k^l{H}_{k-1}^l}{H_k^l+H_{k-1}^l},\mathrm{and}\left(b\right)P_k^{j+1}\propto P_k^j{H}_k^j.$
The method then ends at step 360.

At step 370, the iteration counter j is incremented, and then steps 300-340 are repeated.

FIG. 4a is a plot showing an example of combining the results of unconstrained and constrained (before scaling) simulation results to obtain the scaling factor P(E) and the estimate p(V|E) P(E) of p(V, E) (constrained and after scaling). This data corresponds to the estimation of word error rate (WER) for a LDPC error correcting code and sum-product algorithm decoding. FIG. 4b displays the histogram G_k, k=1, . . . , M, of accumulated values of V belonging to Γ_V^u∩E generated during the unconstrained simulation for this example.

Estimating BER of a Specific LDPC Error Correcting Code

As an illustrative example of one application of the present invention, the performance of a regular (96, 50) LDPC code with a code rate of r=50/96 in an additive white Gaussian noise (AWGN) channel with binary phase-shift-keying (BPSK) was studied using the DAIS method of the present invention. The parity-check matrix (H) of this code can be found in D. J. C. MacKay, “Encyclopedia of Sparse Graph Codes”, which is incorporated by reference herein in its entirety (http://www.inference.phy.cam.ac.uk/mackay/codes/EN/C/96.3.963).

This code was chosen because it was: (1) the same code studied in B. Xia and W. E. Ryan, “On importance sampling for linear block codes,” Proc. IEEE International Conference on Communications 2003 (ICC '03), pp. 2904-2908, Anchorage, Ak., 2003, which is incorporated by reference herein in its entirety; and (2) it is possible to exactly compute the first two non-trivial coefficients of the code's weight enumerator function (3 and 24 codewords at Hamming weights 6 and 8, respectively), which allows one to compare the simulation results with the code's union-bound performance. Note that the MacKay and Xia, et al., references noted above refer to this code as a (96, 48) code, but 2 of the 48 rows of H are linearly dependent.

Sum-product decoding (SPD) was implemented employing the log-likelihood modification of described in H. Futaki and T. Ohtsuki, “Performance of low-density parity-check (LDPC) coded OFDM systems,” Proc. ICC '02, vol. 3, pp. 1696-1700, which is incorporated by reference herein in its entirety, and symmetric signal levels of +1 and −1 for logical 1s and 0s, respectively. The pdf ρ_l of the noise in the lth bit at the receiver is zero mean Gaussian with variance σ²=1/(2r E_b/N₀). It suffices to transmit the all-zeros codeword, since the code is linear and the noise is symmetric.

Let Γ be the n-dimensional probability space of the noise in the n bits of a codeword. The noise vector z=(z₁, . . . , z_n) is multivariate Gaussian with joint pdf $\rho \left(z\right)=\prod _{l=1}^n{\rho }_l\left(z_l\right).$
The MMC algorithm is controlled by a scalar control quantity V defined here as $\mathrm{as}V\left(z\right)={\left\{\frac{1}{n}\sum _{l=1}^n{\left[H\left(q_l{z}_l\right)z_l\right]}^2\right\}}^{1/2},$
where q_l=(−1)^bl, with b_l being the transmitted bit in the lth position, and H(x)=1 if x>0 and H(x)=0 otherwise. V(z) is constructed so that a noise component z_l contributes to V only if it may produce a bit-error at the input to the decoder. A received word with a noise realization z is characterized as generating an error, if the LDPC decoder cannot decode it to the transmitted codeword within 50 iterations.

Given a range [V_min, V_max] for V, Γ is partitioned into M subsets Γ_k={zεΓ|V_k−1≦V(z)<V_k}, where V_k=V_min+kΔV, 1≦k≦M, and ΔV=V_k−V_k−1=(V_max−V_min)/M is the width of each bin in the partition of [V_min, V_max]. Let P_k be the probability of selecting a realization z from ρ so that zεΓ_k. Then, $\begin{array}{cc}{P}_k={\int }_{\Gamma }{\chi }_k\left(z\right)\frac{\rho \left(z\right)}{{\rho }^{*}\left(z\right)}{\rho }^{*}\left(z\right)dz\approx \frac{1}{N}\sum _{i=1}^N{\chi }_k\left(z^{*,i}\right)\frac{\rho \left(z^{*,i}\right)}{{\rho }^{*}\left(z^{*,i}\right)}& \left(1\right)\end{array}$
where ρ*(z) is a positive biasing pdf, χ_k(z)=1 if zεΓ_k and χ_k(z)=0 otherwise, and the z^*,i are N random sample points in Γ, selected according to the pdf ρ*(z). The variance of the estimate of (1) is zero if the optimal biasing pdf $\mathrm{pdf}{\rho }_{\mathrm{opt}}^{*}\left(z\right)={\chi }_k\left(z\right)\frac{\rho \left(z\right)}{P_k}$
is used. However, ρ*_opt(z) depends on P_k, which is initially unknown. In standard IS, one uses physical intuition to guess a biasing pdf that is close to ρ*_opt.

The MMC algorithm instead iterates over a sequence of biasing pdfs ρ^*,j that approach ρ*_opt. ρ^*,j is defined for the jth iteration by ρ^*,j(z)=ρ(z)|(c^jP_k^j), where k is such that zεΓ_k is satisfied. The quantities P_k^j satisfy P_k^j>0 and $\sum _{k=1}^M{P}_k^j=1,$
and c^j is an unknown constant that ensures The vector P_k^j, k=1, . . . M, is the key quantity in the MMC algorithm and completely determines the bias. At the first MMC iteration, P_kⁱ is usually set to 1/M, ∀k=1, . . . , M.

Within each MMC iteration j, the Metropolis algorithm is employed to produce a random walk of samples z^*,i whose pdf equals ρ^*,j(z). The Metropolis algorithm is described in N. Metropolis, et al., “Equation of state calculations by fast computing machines,” J. Chem. Phys., vol. 21, pp. 1087-1092, 1953, and is hereby incorporated by reference in its entirety.

A Markov chain of transitions consisting of small steps in the noise space is considered. Each transition goes from z^*,i=z*_aεΓ_ku to z*_b=(z*_a+ε^jΔz)εΓ_kb, where Δz is random and symmetric, i.e., it does not favor any direction in Γ, and the transition is accepted with probability π_ab. If a transition from z^*,i to z*_b is accepted, z^*,i+1=z*_b is set, else z^*,j+1=z^*,j=z*_a is set. The ratio π_ab/π_ba equals ρ^*,j(z*_b)/ρ^*,j(z*_a), which is the detailed balance condition that ensures that the limiting (stationary) pdf for infinitely many steps of this random walk is ρ^*,i.

The perturbation of the noise component in each bit z*_a,i of z*_a is considered separately, and it is accepted or rejected independently with the probability $\left[\frac{{\rho }_l\left(z_{b,l}^{*}\right)}{{\rho }_l\left(z_{a,l}^{*}\right)},1\right].$
Each perturbation Δz_l is picked from a zero mean symmetric pdf. A trial state z*_b is obtained in which only some of the components are different from their previous values in z*_a. Next, k_b, the bin corresponding to z*_b, is computed, and the step from z*_a to z*_b is accepted with the probability $\left[\frac{P_{k_a}^j}{P_{k_b}^j},1\right].$

In each iteration, the perturbation coefficient ε^j is constant for all samples. After each iteration, ε^j is adjusted so that the acceptance ratio α□ (number of accepted steps)/(total number of steps, N) is close to 0.3 (empirically chosen based on experience from previous experiments). The minimum required N for this random walk depends on the average step size αε^j<|Δz|> and hence is system-dependent. The noise realizations are recorded in the histogram H^*,j, where

is the number of the z^{* j} in iteration j that fall into Γ_k. The P_k^j are updated after each MMC iteration using the recursion relations given in B. A. Berg, “Algorithmic aspects of multicanonical Monte Carlo simulations,” Nucl. Phys. Proc. Suppl., vol. 63, pp. 982-984, 1998, which is hereby incorporated by reference in its entirety, based on the histogram H^*,j. As j increases, the expected number of samples <H_k^*,j> becomes independent of the bin number k, which implies that P_k^j→P_k.

Let P_err be the probability that a received word with noise realization z selected according to pdf ρ leads to an error, and P_err,k the probability that z leads to an error and falls into bin k. Then $\begin{array}{cc}{P}_{\mathrm{err},k}=P_{\mathrm{err}❘k}{P}_k=P_{k❘\mathrm{err}}{P}_{\mathrm{err}},& \left(2a\right)\\ P_{\mathrm{err}}=\sum _{k=1}^M{P}_{\mathrm{err},k},& \left(2b\right)\end{array}$
where P_err|k and P_k|err are the conditional probabilities of an error given that z falls into bin k, and vice versa. P_err can be computed by first running an MMC simulation as described above, where we also count the errors in bin k to produce a histogram G_k^*,j. One can then approximate
after j_max MMC iterations. Summing over all MMC iterations is valid since the biasing pdf at any MMC iteration only affects the total number of hits in a bin, but not the behavior of error hits relative to the total hits within a bin. Finally, one can use the left equation of (2a), and equation (2b) to get P_err.

In FIG. 5a, the approximation

is shown with dots for E_b/N₀=11 dB. The dashed line shows P_k/ΔV, and the circles show the sum of the error histograms

The number of sampled errors rapidly decreases to 0 as V decreases towards 0.4, which is where P_err,k tends to be largest. Consequently, the approximation

converges very slowly as the iteration number j increases. The reason is that in this unconstrained MMC simulation, not enough of the higher-probability smaller-noise realizations that generate errors have been sampled.

One efficient method to overcome this undersampling problem is to run a second, constrained MMC simulation (hence the term “dual” in DAIS), in which one only accepts Metropolis steps that lead to errors. If a trial realization z*_b does not yield an error in this simulation, we set π_ab to zero. The constrained simulation, hence, takes its samples from $\tilde{\rho }\left(z\right)={\chi }_{\mathrm{err}}\left(z\right)\frac{\rho \left(z\right)}{P_{\mathrm{err}}},$
where χ_err(z)=1 if z produces an error and χ_err(z)=0 otherwise. Note that {tilde over (ρ)}(z) is proportional to ρ(z) wherever χ_err(z)=1. If the Metropolis random walk is ergodic in the error subset of Γ, the constrained MMC simulation approximates P_k|err. Since the P_err,k and P_k|err estimates obtained using the two simulations are both smooth for large k, using (2a) we can obtain P_err=P_err,k/P_k|err from the data where k is large.

In FIG. 5a, the dash-dot line shows P_k|err/ΔV obtained from the constrained simulation, while the solid line shows the resulting P_err,k/ΔV obtained by scaling P_k|err/ΔV to fit P_k/ΔV from the unconstrained simulation for 0.55<V<0.6. Since MMC yields a similar number of samples in each bin, the relative statistical sampling error of P_k|err in the constrained simulation is smaller at small V than in the unconstrained simulation. A significant advantage of running separate unconstrained and constrained simulations is that the algorithm optimizes the perturbation coefficients ε^j of the two simulations independently. The values of ε^j tend to differ strongly between the two simulations.

In these simulations, M=300. In the first iteration N^j−1=5000 samples in the unconstrained case and N^j−1=10000 in the constrained case, and the number of samples is increased after each iteration so that N^j+1=1.3N^j. In each case, P_k¹=1/M, k=1, . . . , M, and it is assumed that the simulation has sufficiently converged when max|(P_k^j−P_k^j+1)/P_k^j+1|<0.1 This convergence requires ≈10⁶ to 10⁸ samples in total, with the samples increasing on average with increasing E_b/N_o. Also, in both cases, each MMC iteration is initialized with a z that gives a decoder error.

In FIG. 5b, the x and + symbols denote the decoder output BER and WER estimates, respectively, obtained via Monte Carlo (MC). The dashed curve with □ and dash-dot curve with ∘ denote the decoder output BER and WER estimates, respectively, obtained using DAIS. Finally, the solid curve and dotted curve denote the BER and WER union bounds, respectively.

The union bound can be closely approximated at high E_b/N_o by the contribution of low Hamming weight (6 and 8 in this case) codewords. The SPD for LDPC codes approximates the ML decoder. Hence, one would expect the SPD to perform worse than the union bound on ML decoding at high E_b/N_o. The results from DAIS are consistent with this expectation and indicate that DAIS can simulate WER and BER performance of codes at very low values. Excellent agreement is also observed between the results obtained by DAIS and MC, wherever MC results are available (DAIS falls within the 99% error bars for MC), which further validates DAIS.

The assertion that the true code performance should be close to the union bound at high E_b/N_o is further bolstered by the observation that for MC simulations, as E_b/N_o increases, the contribution of the probability of decoding-to-wrong codewords progressively dominates the WER. For example, at E_b/N_o=4 dB, 216 of 1888 word errors recorded were due to decoding to wrong codewords (the rest were decoder failures), whereas at E_b/N_o=7 dB, the corresponding numbers were 40 of 52. Note that the BER results in the B. Xia and W. E. Ryan reference are farther away from the union bound than the present results (by about 0.4 dB at BER=10⁻⁹), which may be attributed to their use of ≦5 iterations for the SPD, and possibly a different decoder implementation.

It is noted that the present BER data points do not show a waterfall region since they correspond to large E_b/N_o relative to the Shannon limit (≈0 dB for the present code), and since the code is not very long. BER estimates down to 10⁻³⁹ for a smaller (20, 7) code have also been obtained.

A measure of DAIS's improvements over MC is given by the ratio of the number of samples (codewords) required to achieve a given WER at a given E_b/N_o, e.g., at E_b/N_o=10 dB, WER=10⁻¹⁴ is obtained by DAIS using 8×10⁷ codewords (unconstrained)+3×10⁷ codewords (constrained)=11×10⁷ codewords (total), whereas MC would require ≧10¹⁵ codewords (assuming ≧10 word error events). Thus the gain is $\frac{{10}^{15}}{11\times {10}^7}\approx 9\times {10}^6$
It is believed that DAIS's gain increases with decreasing WER.

As code length increases, the dimensionality of Γ and its partitions that map to bins of V increases. Hence, maintaining a given level of statistical accuracy in sampling each partition of Γ requires more samples for the longer code.

System for Estimating Probability of Occurrence of Events

FIG. 6 is a block diagram of a system for estimating the probability of occurrence of events, in accordance with one embodiment of the invention. The system includes a DAIS processor 500 and a user interface 600. The DAIS processor 500 is preferably programmed with code for implementing the methods discussed above, and illustrated in FIGS. 1-5. The code can be written in any processor language known in the art, however, it is preferably written in ANSI C.

The code that is used to implement the methods of the present invention can be stored on a computer readable medium 700, such as a hard drive, read-only memory (ROM), random access memory (RAM), or any other type of electronic memory or storage device using any type of media, such as magnetic, optical or other media. Although the computer readable medium 700 in FIG. 6 is shown as separate from the DAIS processor 500, it can be incorporated into the DAIS processor 500.

The DAIS processor 500 can be a general purpose computer. However, the DAIS processor 500 can also be a special purpose computer, programmed microprocessor or microcontroller and peripheral integrated circuit elements, ASICs or other integrated circuits, hardwired electronic or logic circuits such as discrete element circuits, programmable logic devices such as FPGA, PLD, PLA or PAL or the like. In general, any device on which a finite state machine capable of implementing the flowcharts of FIGS. 1-3 can be used to implement the DAIS processor 500.

The user interface 600 is preferably a graphical user interface (GUI) with associated parameter error-checking in order to prevent improper operation of the code due to inappropriate parameter initialization, and make the code user-friendly. The user interface 600 interface preferably accepts code inputs and initializations, provides clear and useful messages to the user in the event that the input parameters are illegal, handles the data processing once the simulations have been completed, and presents the results of the code in a predefined and easily understandable format. The user interface 600 is preferably informative, easy to understand, and capable of providing the user with frequent messages regarding the status of the simulation and guiding the user with step-by-step instructions, wherever possible.

This system and methods of the present invention can be applied to several general classes of problems:

• (1) Estimation of very low probability events of the form E={z|g(z)εG}, where g(z) is known analytically or algorithmically, or is representative of an actual system under test, and G is an observable/measurable event;
• (2) Evaluation of expectations E{g(z)}, with z□ρ(z) where the largest contributors to E{g(z)} come from regions zεE such that P(E) is very small; and
• (3) Evaluation of very small integrals ∫_Ag(z) dz where z is non-random and ∫_Adz is also very small.

Problem class (1) includes the application addressed above (estimation of BERs/WERs of FEC codes), as well as other communication system simulation problems where extremely small probability events need to be evaluated or simulation time is too long using previous Monte-Carlo-based simulation techniques. It also includes the case where one is testing an actual system (e.g., electromechanical or electro-optical) by both controlling its input z and processing the output data via the methods of the present invention.

Class (1) also includes the case where the algorithmic description of the system or operation g(z) consists of several interconnected subsystems, and requires a large amount of computation time to produce an output for a given input. Problem class (3) is addressed by the present invention via using ρ(z)˜uniform on the sample space for z.

The foregoing embodiments and advantages are merely exemplary, and are not to be construed as limiting the present invention. The present teaching can be readily applied to other types of apparatuses. The description of the present invention is intended to be illustrative, and not to limit the scope of the claims. Many alternatives, modifications, and variations will be apparent to those skilled in the art. Various changes may be made without departing from the spirit and scope of the invention, as defined in the following claims.

Claims

1. A method of estimating the probability of occurrence of an event (E), comprising:

performing an adaptive unconstrained estimation of an optimal biased distribution of a multi-dimensional random variable (z) defined on a sample space (Γ);

performing an importance-sampling (IS) simulation using the optimal biased distribution for z to yield a first result;

performing an adaptive constrained estimation of an optimal biased distribution for z over regions of Γ where E occurs;

performing an IS simulation using the optimal biased distribution for z, over regions of Γ where E occurs, to yield a second result; and

estimating the probability of the occurrence of E based on the first and second results.

2. The method of claim 1, wherein the constrained and unconstrained estimations are performed iteratively.

3. The method of claim 1, wherein the event comprises a word error rate for a forward error correcting (FEC) code.

4. The method of claim 3, wherein the FEC code comprises a LDPC code.

5. The method of claim 1, wherein the event comprises a bit error rate for a forward error correcting (FEC) code.

6. The method of claim 5, wherein the FEC code comprises a LDPC code.

7. The method of claim 1, wherein the steps of performing an adaptive unconstrained estimation of an optimal biased distribution for z and performing an IS simulation using the optimal biased distribution for z to yield a first result comprise:

performing adaptive unconstrained Metropolis simulations to iteratively estimate the optimal biased distribution for z; and

performing an IS simulation using the optimal biased distribution for z and an unconstrained Metropolis random walk to yield the first result.

8. The method of claim 7, wherein the steps of performing an adaptive constrained estimation of an optimal biased distribution for z over regions of Γ where E occurs and performing an IS simulation using the optimal biased distribution for z over regions of Γ where E occurs to yield a second result comprise:

performing adaptive constrained Metropolis simulations to iteratively estimate the optimal biased distribution for z over regions of Γ where E occurs; and

performing an IS simulation using the optimal biased distribution for z over regions of Γ where E occurs and a constrained Metropolis random walk to yield the second result.

9. The method of claim 1, wherein the probability of the occurrence of E based on the first and second results is estimated by:

scaling the second result to fit the first result to yield a scaling factor; and

estimating the probability of the occurrence of E based on the scaling factor.

10. A method of estimating the probability of occurrence of an event (E), given a known probability distribution (ρ(z)) of a multi-dimensional random variable (z) defined on a sample space (Γ), comprising:

determining a scalar mapping (V) from the multi-dimensional sample space to a single-dimensional space;

defining bins that partition a first range of values of V (ΓVu), such that values of V not in the range of values ΓVu have a negligible probability of occurrence;

performing adaptive unconstrained Metropolis simulations to iteratively estimate an optimal biased distribution for z;

performing an importance-sampling (IS) simulation using the optimal biased distribution for z and an unconstrained Metropolis random walk to yield a first result;

defining bins that partition a second range of values of V (ΓVc), such that values of V not in the range of values ΓVc have a negligible contribution to the probability of occurrence of E;

performing adaptive constrained Metropolis simulations to iteratively estimate an optimal biased distribution for z over regions of Γ where E occurs;

performing an IS simulation using the optimal biased distribution for z over regions of Γ where E occurs and a constrained Metropolis random walk to yield a second result; and

estimating the probability of occurrence of E based on the first and second results.

11. The method of claim 10, wherein the first result comprises estimates of probability distributions p(V) and p(V, E), and the second result comprises an estimate of the probability distribution p(V|E).

12. The method of claim 11, wherein the probability of occurrence of E (P(E)) is estimated by scaling the estimate of p(V|E) to fit the estimate of p(V, E) over a range of values of V where the estimates of p(V|E) and p(V, E) have a predetermined reliability, to yield a scaling factor (SF), wherein SF comprises a first estimate of P(E).

13. The method of claim 12, further comprising integrating [p(V|E)*SF] over ΓVc to yield a second estimate of P(E), wherein the second estimate is more accurate than the first estimate.

14. The method of claim 10, wherein the adaptive unconstrained Metropolis simulations and the adaptive constrained Metropolis simulations are performed by:

(a) setting an initial distribution for V over all bins ΓVu and ΓVc for adaptive unconstrained and adaptive constrained simulations, respectively;

(b) generating a random walk in the sample space of z using a Metropolis algorithm;

(c) generating a histogram (Hkj, k=1,..., M) of V=f(z) over all the bins of ΓVu or ΓVc based on the values of z generated by the Metropolis random-walk;

(d) obtaining a new estimate for the distribution of V as Pkj+1=φ(Pkj,Pk−1j,Pk−1j−1,Hkl,Hk−1l, l=0, 1,..., j), where φ denotes a predefined function;

(e) incrementing counter j and repeating steps (a)-(d) if the histogram of V is not approximately uniform; and

(f) setting Pk∞=Pkj+1, ∀ kε{1,..., M} and ρ*(z)=ρ(z)/(cPk∞) as an optimal biased distribution of z for all z such that f(z) falls in the kth bin of ΓVu or ΓVc, and wherein c is chosen such that ∫ρ*(z)dz=1.

15. A program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps for estimating the probability of occurrence of an event (E), the method steps comprising:

performing an adaptive unconstrained estimation of an optimal biased distribution for a multi-dimensional random variable (z) defined on a sample space (Γ);

performing an importance-sampling (IS) simulation using the optimal biased distribution for z to yield a first result;

performing an adaptive constrained estimation of an optimal biased distribution for z over regions of Γ where E occurs;

performing an IS simulation using the optimal biased distribution for z, over regions of Γ where E occurs, to yield a second result; and

estimating the probability of the occurrence of E based on the first and second results.

16. The program storage device of claim 15, wherein the constrained and unconstrained estimations are performed iteratively.

17. The program storage device of claim 15, wherein the event comprises a word error rate for a forward error correcting (FEC) code.

18. The program storage device of claim 17, wherein the FEC code comprises a LDPC code.

19. The program storage device of claim 15, wherein the event comprises a bit error rate for a forward error correcting (FEC) code.

20. The program storage device of claim 19, wherein the FEC code comprises a LDPC code.

21. The program storage device of claim 15, wherein the steps of performing an adaptive unconstrained estimation of an optimal biased distribution for z and performing an IS simulation using the optimal biased distribution for z to yield a first result comprise:

performing adaptive unconstrained Metropolis simulations to iteratively estimate the optimal biased distribution for z; and

performing an IS simulation using the optimal biased distribution for z and an unconstrained Metropolis random walk to yield the first result.

22. The program storage device of claim 21, wherein the steps of performing an adaptive constrained estimation of an optimal biased distribution for z over regions of Γ where E occurs and performing an IS simulation using the optimal biased distribution for z over regions of Γ where E occurs to yield a second result comprise:

performing adaptive constrained Metropolis simulations to iteratively estimate the optimal biased distribution for z over regions of Γ where E occurs; and

performing an IS simulation using the optimal biased distribution for z over regions of Γ where E occurs and a constrained Metropolis random walk to yield the second result.

23. The program storage device of claim 15, wherein the probability of the occurrence of E based on the first and second results is estimated by:

scaling the second result to fit the first result to yield a scaling factor; and

estimating the probability of the occurrence of E based on the scaling factor.

24. A program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps for estimating the probability of occurrence of an event (E), given a known probability distribution (ρ(z)) of a multi-dimensional random variable (z) defined on a sample space (Γ), the method steps comprising:

determining a scalar mapping (V) from the multi-dimensional sample space to a single-dimensional space;

defining bins that partition a first range of values of V(ΓVu), such that values of V not in the range of values ΓVu have a negligible probability of occurrence;

performing adaptive unconstrained Metropolis simulations to iteratively estimate an optimal biased distribution for z;

performing an IS simulation using the optimal biased distribution for z and an unconstrained Metropolis random walk to yield a first result;

defining bins that partition a second range of values of V (ΓVc), such that values of V not in the range of values ΓVc have a negligible contribution to the probability of occurrence of E;

performing adaptive constrained Metropolis simulations to iteratively estimate an optimal biased distribution for z over regions of Γ where E occurs;

performing an IS simulation using the optimal biased distribution for z over regions of Γ where E occurs and a constrained Metropolis random walk to yield a second result; and

estimating the probability of occurrence of E based on the first and second results.

25. The program storage device of claim 24, wherein the first result comprises estimates of probability distributions p(V) and p(V, E), and the second result comprises an estimate of the probability distribution p(V|E).

26. The program storage device of claim 25, wherein the probability of occurrence of E, (P(E)) is estimated by scaling the estimate of p(V|E) to fit the estimate of p(V, E) over a range of values of V where the estimates of p(V|E) and p(V, E) have a predetermined reliability, to yield a scaling factor (SF), wherein SF comprises a first estimate of P(E).

27. The program storage device of claim 25, further comprising integrating [p(V|E)*SF] over ΓVc to yield a second estimate of P(E), wherein the second estimate is more accurate than the first estimate.

28. The program storage device of claim 24, wherein the adaptive unconstrained Metropolis simulations and the adaptive constrained Metropolis simulations are performed by:

(a) setting an initial distribution for V over all partition bins of ΓVu and ΓVc for adaptive unconstrained and adaptive constrained simulations, respectively;

(b) generating a random walk in the sample space Γ using a Metropolis algorithm;

(c) generating a histogram (Hkj, k=1,..., M) of V=f(z) over all partition bins of ΓVu or ΓVc based on the values of z generated by the Metropolis random-walk;

(d) obtaining a new estimate for the distribution of V as Pkj+1=φ(Pkj,Pk−1j,Pk−1j−1,Hkl,Hk−1l;l=0, 1,..., j), where φ denotes a predefined function;

(e) incrementing counter j and repeating steps (a)-(d) if the histogram of V is not approximately uniform; and

(f) setting Pk∞=Pkj+1, ∀ kε{1,..., M} and ρ*(z)=ρ(z)/(cPk∞) as an optimal biased distribution of z for all z such that f(z) falls in the kth bin of ΓVu or ΓVc, and wherein c is chosen such that ∫ρ*(z)dz=1.

29. A system, comprising:

a processor programmed with computer readable program code for: performing an adaptive unconstrained estimation of an optimal biased distribution for a multi-dimensional random variable (z) defined on a sample space (Γ), performing an importance-sampling (IS) simulation using the optimal biased distribution for z to yield a first result, performing an adaptive constrained estimation of an optimal biased distribution for z over regions of Γ where E occurs, performing an IS simulation using the optimal biased distribution for z, over regions of Γ where E occurs, to yield a second result, and estimating the probability of the occurrence of E based on the first and second results; and

a user interface in communication with the processor.

30. A method of combining a first result from an unconstrained importance-sampling (IS) simulation with a second result from a constrained IS simulation, comprising:

receiving the first result;

receiving the second result; and

scaling the second result to fit the first result to yield a scaling factor.

31. The method of claim 30, wherein the first and second results comprise estimates of first and second probability distributions.

32. The method of claim 30, further comprising determining information about an event based on the scaling factor.

33. The method of claim 32, wherein the information about the event comprises an estimate of a probability of occurrence of the event.