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

Document Type

Conference Proceeding

Publication Date

12-1-2019

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.

Identifier

85081133638 (Scopus)

ISBN

[9781728132839]

Publication Title

Proceedings Winter Simulation Conference

External Full Text Location

https://doi.org/10.1109/WSC40007.2019.9004743

ISSN

08917736

First Page

416

Last Page

427

Volume

2019-December

Grant

1537322

Fund Ref

National Science Foundation

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