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The Rare Event Simulation Method RESTART: Efficiency Analysis and Guidelines for Its Application

  • Manuel Villén-Altamirano
  • José Villén-Altamirano
Part of the Lecture Notes in Computer Science book series (LNCS, volume 5233)

Abstract

This paper is a tutorial on RESTART, a widely applicable accelerated simulation technique for estimating rare event probabilities. The method is based on performing a number of simulation retrials when the process enters regions of the state space where the chance of occurrence of the rare event is higher. The paper analyzes its efficiency, showing formulas for the variance of the estimator and for the gain obtained with respect to crude simulation, as well as for the parameter values that maximize this gain. It also provides guidelines for achieving a high efficiency when it is applied. Emphasis is placed on the choice of the importance function, i.e., the function of the system state used for determining when retrials are made. Several examples on queuing networks and ultra reliable systems are exposed to illustrate the application of the guidelines and the efficiency achieved.

Keywords

Rare Event Splitting RESTART Simulation Performance Reliability 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  • Manuel Villén-Altamirano
    • 1
  • José Villén-Altamirano
    • 2
  1. 1.Dep. Ingeniería Sistemas Telemáticos, ETSITTechnical University of MadridMadridSpain
  2. 2.Dep. Matemática Aplicada, EUITechnical University of MadridMadridSpain

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