Stochastic Simulation: a Simplified LRE-Algorithm for Discrete Random Sequences
Authors: Schreiber, Friedrich and Görg, Carmelita
Department of Communication Networks (ComNets), Faculty 6, RWTH Aachen University
Contact: publications@comnets.rwth-aachen.de
In AEÜ, Vol. 50, p.p. 233-239, 1996.
Publication Date: , 1996
On page(s):233-239
ISBN:
Abstract
The LRE-algorithm III (LRE: limited relative error) for the statistical evaluation of discrete random x-sequences yields,
by simple rules, the stationary d.f. F(x) and the so-called local correlation function rho (x), -1<or= rho <or=1,
to be included in a mean quadratic error measure for controlling the simulation run time.
The use of this error statement instead of confidence interval statements and the principle of measuring correlation
evidence instead of trying to eliminate correlation is essential for overcoming the deficiencies of the
widespread batch means evaluation method. The LRE-algorithm III has been verified by test simulations of
analytically described queueing systems and recently applied as part of the so-called RESTART/LRE-algorithm for
simulating very small probabilities of rare cell loss events in ATM-networks: in a situation being affected by
various correlation phenomena the error and run time control procedures of the LRE-method secure the objectivity of numerical simulation results.
DownloadBibtex
@ARTICLE{SchreiberGoerg1996aeue,
AUTHOR = {Schreiber, F. and Görg, C.},
TITLE = {Stochastic Simulation: a Simplified LRE-Algorithm for Discrete Random
Sequences},
JOURNAL = {AEÜ},
YEAR = {1996},
VOLUME = {50},
PAGES = {233-239},
AFFILIATION = {Department of Communication Networks (ComNets), Faculty 6, RWTH Aachen University},
ANNOTE = {Statistical evaluation, discrete sequences, rare event simulation,
RESTART/LRE, local correlation coefficient, M/M/1/N, LRE-algorithm III,
run time control procedures, ATM, ATM cell loss rat},
URL = {https://www.comnets.rwth-aachen.de}
}