The RESTART/LRE Method for Rare Event Simulation
Authors: Görg, Carmelita and Schreiber, Friedrich
Department of Communication Networks (ComNets), Faculty 6, RWTH Aachen University
Contact: publications@comnets.rwth-aachen.de
In 1996 Winter Simulation Conference, p. 390, Coronado, California, USA, 1996.
Publication Date: Dec, 1996
On page(s):390
ISBN:
Abstract Using the LRE-algorithm (LRE:,Limited Relative Error) for the evaluation of simulated data yields the stationary distribution function of an investigated random sequence and additionally the so-called local correlation coefficient, which represents relevant correlation evidence to be included in the error measure for controlling the simulation run time. In this paper a simplified LRE-algorithm is used to evaluate discrete sequences like the occupancy of finite buffer queueing systems G/G/1/N. It is shown how this algorithm is combined with the RE-START-method for an efficient rare event simulation. A multi-stage RESTART/LRE-algorithm has been implemented as part of a stochastic simulation system and its performance has been verified by extensive simulations of the reference system M/M/1/N, whose properties including the local correlation coefficient can be described by analytical formulas. Approximate formulas for the optimal number of stages and number of trials are given. The new algorithm has been successfully applied to several finite buffer queueing systems, including the SSMP(2)/D/1/N system with a correlated input stream, in order to gain by simulation the distribution function of the occupancy including very low loss probabilities in the order of 10 to the -9 and even 10 to the -21, which are relevant for the performance of switching nodes in the ATM broadband network.
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@INPROCEEDINGS{GoergSchreiber1996wsc,
AUTHOR = {Görg, C. and Schreiber, F.},
TITLE = {The RESTART/LRE Method for Rare Event Simulation},
JOURNAL = {1996 Winter Simulation Conference},
YEAR = {1996},
MONTH = {Dec},
VOLUME = {0},
PAGES = {390},
ADDRESS = {Coronado, California, USA},
AFFILIATION = {Department of Communication Networks (ComNets), Faculty 6, RWTH Aachen University},
ANNOTE = {RESTART/LRE, discrete simulation, rare event simulation, output
analysis, variance reduction techniques, Statistical methods, importance
sampling, optimization techniques, ATM network},
URL = {https://www.comnets.rwth-aachen.de}
}