Efficient Estimation of the Mean Hitting Time to a set of A Regenerative System

Marvin K. Nakayama, Bruno Tuffin

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

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.

Original languageEnglish (US)
Title of host publication2019 Winter Simulation Conference, WSC 2019
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages416-427
Number of pages12
ISBN (Electronic)9781728132839
DOIs
StatePublished - Dec 2019
Event2019 Winter Simulation Conference, WSC 2019 - National Harbor, United States
Duration: Dec 8 2019Dec 11 2019

Publication series

NameProceedings - Winter Simulation Conference
Volume2019-December
ISSN (Print)0891-7736

Conference

Conference2019 Winter Simulation Conference, WSC 2019
Country/TerritoryUnited States
CityNational Harbor
Period12/8/1912/11/19

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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