Importance Functions for RESTART Simulation of General Jackson Networks

Villén Altamirano, José (2010). Importance Functions for RESTART Simulation of General Jackson Networks. "European Journal of Operation Research", v. 203 (n. 1); pp. 156-165. ISSN 0377-2217. https://doi.org/10.1016/j.ejor.2009.07.013.

Description

Title: Importance Functions for RESTART Simulation of General Jackson Networks
Author/s:
  • Villén Altamirano, José
Item Type: Article
Título de Revista/Publicación: European Journal of Operation Research
Date: January 2010
ISSN: 0377-2217
Volume: 203
Subjects:
Freetext Keywords: Simulation; Queueing; Rare event probabilities; RESTART
Faculty: E.U. de Informática (UPM)
Department: Matemática Aplicada
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

RESTART is an accelerated simulation technique that allows the evaluation of extremely low probabilities. In this method a number of simulation retrials are performed when the process enters regions of the state space where the chance of occurrence of the rare event is higher. These regions are defined by means of a function of the system state called the importance function. Guidelines for obtaining suitable importance functions and formulas for the importance function of two-stage networks were provided in previous papers. In this paper, we obtain effective importance functions for RESTART simulation of Jackson networks where the rare set is defined as the number of customers in a particular (‘target’) node exceeding a predefined threshold. Although some rough approximations and assumptions are used to derive the formulas of the importance functions, they are good enough to estimate accurately very low probabilities for different network topologies within short computational time.

More information

Item ID: 7129
DC Identifier: http://oa.upm.es/7129/
OAI Identifier: oai:oa.upm.es:7129
DOI: 10.1016/j.ejor.2009.07.013
Official URL: http://www.sciencedirect.com/science/journal/03772217
Deposited by: Memoria Investigacion
Deposited on: 20 May 2011 11:00
Last Modified: 20 Apr 2016 16:17
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