Efficient Estimation of the Mean Hitting Time to a Set of a Regenerative System - Inria - Institut national de recherche en sciences et technologies du numérique
Conference Papers Year : 2019

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.
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Dates and versions

hal-02155409 , version 1 (13-06-2019)

Identifiers

  • HAL Id : hal-02155409 , version 1

Cite

Marvin K Nakayama, Bruno Tuffin. Efficient Estimation of the Mean Hitting Time to a Set of a Regenerative System. WSC 2019 - Winter Simulation Conference, Dec 2019, National Harbor, United States. pp.1-14. ⟨hal-02155409⟩
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