A comparison of RESTART implementations

M.J.J. Garvels, Dirk Kroese

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    Abstract

    The RESTART method is a widely applicable simulation technique for the estimation of rare event probabilities. The method is based on the idea to restart the simulation in certain system states, in order to generate more occurrences of the rare event. One of the main questions for any RESTART implementation is how and when to restart the simulation, in order to achieve the most accurate results for a fixed simulation effort. We investigate and compare, both theoretically and empirically, different implementations of the RESTART method. We find that the original RESTART implementation, in which each path is split into a fixed number of copies, may not be the most efficient one. It is generally better to fix the total simulation effort for each stage of the simulation. Furthermore, given this effort, the best strategy is to restart an equal number of times from each state, rather than to restart each time from a randomly chosen state
    Original languageUndefined
    Title of host publicationProceedings of the 1998 Wintex Simulation Conference
    EditorsD.J. Medeiros, E.F. Watson, J.S. Carson, M.S. Manivannan
    Place of PublicationEnschede
    PublisherIEEE
    Pages601-609
    ISBN (Print)0780351339
    DOIs
    Publication statusPublished - 20 Feb 1998

    Publication series

    Name
    PublisherIEEE
    Volume1

    Keywords

    • IR-18637
    • METIS-119158

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