TY - GEN
T1 - Efficient Estimation of the Mean Hitting Time to a set of A Regenerative System
AU - Nakayama, Marvin K.
AU - Tuffin, Bruno
N1 - Funding Information:
This work has been supported in part by the National Science Foundation under Grant No. CMMI-1537322. Any opinions, findings, and conclusions or recommendations expressed in this material are those of the authors and do not necessarily reflect the views of the National Science Foundation.
Publisher Copyright:
© 2019 IEEE.
PY - 2019/12
Y1 - 2019/12
N2 - We consider using simulation to estimate the mean hitting time to a set of states in a regenerative process. A classical simulation estimator is based on a ratio representation of the mean hitting time, using crude simulation to estimate the numerator and importance sampling to handle the denominator, which corresponds to a rare event. But the estimator of the numerator can be inefficient when paths to the set are very long. We thus introduce a new estimator that expresses the numerator as a sum of two terms to be estimated separately. We provide theoretical analysis of a simple example showing that the new estimator can have much better behavior than the classical estimator. Numerical results further illustrate this.
AB - We consider using simulation to estimate the mean hitting time to a set of states in a regenerative process. A classical simulation estimator is based on a ratio representation of the mean hitting time, using crude simulation to estimate the numerator and importance sampling to handle the denominator, which corresponds to a rare event. But the estimator of the numerator can be inefficient when paths to the set are very long. We thus introduce a new estimator that expresses the numerator as a sum of two terms to be estimated separately. We provide theoretical analysis of a simple example showing that the new estimator can have much better behavior than the classical estimator. Numerical results further illustrate this.
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U2 - 10.1109/WSC40007.2019.9004743
DO - 10.1109/WSC40007.2019.9004743
M3 - Conference contribution
AN - SCOPUS:85081133638
T3 - Proceedings - Winter Simulation Conference
SP - 416
EP - 427
BT - 2019 Winter Simulation Conference, WSC 2019
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2019 Winter Simulation Conference, WSC 2019
Y2 - 8 December 2019 through 11 December 2019
ER -