@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",

}