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

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  • Villén-Altamirano, José

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.

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  • Villén-Altamirano, José, 2019. "An improved variant of the rare event simulation method RESTART using prolonged retrials," Operations Research Perspectives, Elsevier, vol. 6(C).
    • Handle: RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716018303427
    DOI: 10.1016/j.orp.2019.100108
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    References listed on IDEAS

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    1. Zdravko I. Botev & Pierre L'Ecuyer & Gerardo Rubino & Richard Simard & Bruno Tuffin, 2013. "Static Network Reliability Estimation via Generalized Splitting," INFORMS Journal on Computing, INFORMS, vol. 25(1), pages 56-71, February.
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