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

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Network Performance Engineering

Part of the book series: Lecture Notes in Computer Science ((LNCCN,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.

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Author information

Authors and Affiliations

  1. Dep. Ingeniería Sistemas Telemáticos, ETSIT, Technical University of Madrid, Ciudad Universitaria, 28040, Madrid, Spain

    Manuel Villén-Altamirano

  2. Dep. Matemática Aplicada, EUI, Technical University of Madrid, c/ Arboleda s/n, 28031, Madrid, Spain

    José Villén-Altamirano

Authors
  1. Manuel Villén-Altamirano
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  2. José Villén-Altamirano
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Editor information

Editors and Affiliations

  1. School of Computing, Informatics and Media, University of Bradford, Richmond Road, BD7 1DP, Bradford, UK

    Demetres D. Kouvatsos

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Villén-Altamirano, M., Villén-Altamirano, J. (2011). The Rare Event Simulation Method RESTART: Efficiency Analysis and Guidelines for Its Application. In: Kouvatsos, D.D. (eds) Network Performance Engineering. Lecture Notes in Computer Science, vol 5233. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02742-0_22

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  • DOI: https://doi.org/10.1007/978-3-642-02742-0_22

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-02741-3

  • Online ISBN: 978-3-642-02742-0

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