An improved variant of the rare event simulation method RESTART using prolonged retrials

José Villén-Altamirano

Operations Research Perspectives, 2019, vol. 6, issue C

Abstract: RESTART is a widely applicable accelerated simulation technique that allows the evaluation of extremely low probabilities. In this method a number of retrials (or paths) are made when the process reaches certain thresholds of a function of the system state, called the importance function. In RESTART with prolonged retrials, all but one path are cut when they drop several thresholds (rather than when they down-cross the threshold that they started from). The only path that continues collects the weight of the cut paths to keep the estimator unbiased.

Keywords: Simulation; Rare event probabilities; Variance reduction; RESTART; Splitting; Queuing networks (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716018303427

DOI: 10.1016/j.orp.2019.100108

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