Rare event RESTART simulation of two-stage networks |
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Authors: | José Villén-Altamirano |
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Institution: | Departamento de Matemática Aplicada (E.U. Informática), Universidad Politécnica de Madrid, Calle Arboleda s/n, 28031 Madrid, Spain |
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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. |
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Keywords: | Simulation Rare-event probabilities RESTART Queueing |
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