A new technique for rare-event simulation based on partition of the region

Authors : Amir Jalaly BIDGOLY, Mohammad Abdollahi AZGOMI

Pages : 309-329

Doi:10.3906/elk-1105-50

View : 18 | Download : 11

Publication Date : 0000-00-00

Article Type : Research Paper

Abstract :Rare events are an important limitation of discrete-event simulation in some areas of applications. The existing rare-event simulation insert ignore into journalissuearticles values(RES); techniques, such as importance sampling insert ignore into journalissuearticles values(IS);, splitting, and RESTART, have been used for RES so far. However, these techniques not only have some limitations, but also are not general or easy to use. In this paper, the partition of the region insert ignore into journalissuearticles values(PoR); method is used as a variance reduction technique in a new RES technique for usage with a wide range of modeling and simulation languages. Three variants of the proposed technique will be introduced: simple PoR, recursive PoR, and advanced PoR. Simple and recursive PoR methods are powerful techniques that have some important features such as bounded relative error; however, they are restricted to some specific models. Advanced PoR is a more general technique that integrates the PoR method and the IS technique. To evaluate the efficiency of the proposed technique and its variants, the comparative simulation results of some illustrative examples using stochastic activity networks will be presented.
Keywords : Rare event simulation, variance reduction technique, partition of the region, simple partition of the region, recursive partition of the region, advanced partition of the region