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Rare Event Simulation: a Modified RESTART-method using the LRE-algorithm
Schreiber, Friedrich and Görg, Carmelita
Department of Communication Networks (ComNets), Faculty 6, RWTH Aachen University Kontakt: publications@comnets.rwth-aachen.de
In Proceedings Teletraffic and Datatraffic, Proceedings 14th ITC, Antibes, Juan-Les-Pins, France, June 6-10, 1994, p.p. 787-796, Lehrstuhl für Kommunikationsnetze,Elsevier, North Holland, 1994.
Publication Date: , 1994
On page(s):787-796
ISBN:
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The evaluation of simulated data by the LRE-algorithm (limited relative error) yields the stationary d.f. F(x) of the investigated random x-sequence and also the so called local correlation coefficient rho (x), which represents relevant correlation evidence to be included in the error measure f or controlling the simulation run time. In this paper a simplified LRE-algorithm is introduced, which is specially adapted to evaluate discrete x-sequences like the occupancy of finite buffer queueing systems G/G/1/N. It is shown how this algorithm can be combined with the RESTART-method (1991) for rare event simulation and how it can be used for an effi cient run time control of this simulation method. A RESTART/LRE-algorithm has been implemented as part of a simulation system in C++ and its performance has been verified by exte nsive simulations of the reference system M/M/1/N, whose properties, including the function rho (x), can be described by analytically derived formulae. The new algorithm has also been successfully applied to finite buffer queueing systems of the type G/D/1/N, e.g. SSMP(2)/D/1/N and M/D/1/N, in order to gain by simulation the complementary d.f. G(x)=1-F(x ) of the occupancy and to find the values of very low loss probabilities PL in the order of PL=10-9. These are relevant for the investigation of switching nodes of the ATM broadband network.
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@INPROCEEDINGS{SchrCG_ITC1994,
AUTHOR = {Schreiber, F. and Görg, C.},
TITLE = {Rare Event Simulation: a Modified RESTART-method using the LRE-algorithm},
JOURNAL = {Proceedings Teletraffic and Datatraffic, Proceedings 14th ITC, Antibes,
Juan-Les-Pins, France, June 6-10, 1994},
YEAR = {1994},
VOLUME = {0},
PAGES = {787-796},
PUBLISHER = {Elsevier, North Holland},
ADDRESS = {Lehrstuhl für Kommunikationsnetze},
AFFILIATION = {Department of Communication Networks (ComNets), Faculty 6, RWTH Aachen University},
ANNOTE = {RESTART, Simulation, LRE, Rare Event Simulation REMARKS},
URL = {http://www.comnets.rwth-aachen.de}
}
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| | Letzte Änderung: 8.05.2008 12.16 | |
