@inproceedings{c559ec62f2e14458b03d2ad2f10f4798,
title = "Efficient Estimation of the Mean Hitting Time to a set of A Regenerative System",
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.",
author = "Nakayama, {Marvin K.} and Bruno Tuffin",
note = "Publisher Copyright: {\textcopyright} 2019 IEEE.; 2019 Winter Simulation Conference, WSC 2019 ; Conference date: 08-12-2019 Through 11-12-2019",
year = "2019",
month = dec,
doi = "10.1109/WSC40007.2019.9004743",
language = "English (US)",
series = "Proceedings - Winter Simulation Conference",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "416--427",
booktitle = "2019 Winter Simulation Conference, WSC 2019",
address = "United States",
}