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Rare event RESTART simulation of two-stage networks
Authors:José Villén-Altamirano
Institution:Departamento de Matemática Aplicada (E.U. Informática), Universidad Politécnica de Madrid, Calle Arboleda s/n, 28031 Madrid, Spain
Abstract:REpetitive Simulation Trials After Reaching Thresholds (RESTART) is a widely applied accelerated simulation technique that allows the evaluation of extremely low probabilities. In this method a number of simulation retrials are performed when the process enters regions of the state space where the chance of occurrence of the rare event is higher. Formulas for evaluating the optimal number of regions and retrials as well as guidelines for obtaining suitable importance functions were provided in previous papers. Nevertheless, further investigations are required to apply these guidelines to practical cases.
Keywords:Simulation  Rare-event probabilities  RESTART  Queueing
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