RESTART: A method for accelerating rare event simulations This paper presents a method for accelerating simulations to estimate the probability of occurrence of rare events. The method, called RESTART (REpetitive Simulation Trials After Reaching Thresholds), is quite general and has a straightforward application, allowing dramatic reductions of the simulation time for an equal confidence of the results. The paper proves the efficiency of the method and shows an application example.

References in zbMATH (referenced in 27 articles , 1 standard article )

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  1. Mills, Alex F.: A simple yet effective decision support policy for mass-casualty triage (2016)
  2. Rolland, Joran; Bouchet, Freddy; Simonnet, Eric: Computing transition rates for the 1-D stochastic Ginzburg-Landau-Allen-Cahn equation for finite-amplitude noise with a rare event algorithm (2016)
  3. Simonnet, Eric: Combinatorial analysis of the adaptive last particle method (2016)
  4. Gobet, E.; Liu, G.: Rare event simulation using reversible shaking transformations (2015)
  5. Borodina, A.; Morozov, E.: Accelerated consistent estimation of a high load probability in $M/G/1$ and $GI/G/1$ queues (2014)
  6. Cai, Yi; Dupuis, Paul: Analysis of an interacting particle method for rare event estimation (2013)
  7. Botev, Zdravko I.; Kroese, Dirk P.: Efficient Monte Carlo simulation via the generalized splitting method (2012)
  8. Krystul, Jaroslav; Le Gland, François; Lezaud, Pascal: Sampling per mode for rare event simulation in switching diffusions (2012)
  9. Blanchet, Jose; Leder, Kevin; Shi, Yixi: Analysis of a splitting estimator for rare event probabilities in Jackson networks (2011)
  10. Dean, Thomas; Dupuis, Paul: The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation (2011)
  11. Bertail, P.; Clémençon, S.; Tressou, J.: Statistical analysis of a dynamic model for dietary contaminant exposure (2010)
  12. Villén-Altamirano, José: Importance functions for restart simulation of general Jackson networks (2010)
  13. Lagnoux-Renaudie, Agnès: A two-step branching splitting model under cost constraint for rare event analysis (2009)
  14. Botev, Zdravko I.; Kroese, Dirk P.: An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting (2008)
  15. Lagnoux-Renaudie, Agnès: Effective branching splitting method under cost constraint (2008)
  16. Cérou, Frédéric; Guyader, Arnaud: Adaptive multilevel splitting for rare event analysis (2007)
  17. Villén-Altamirano, José: Rare event restart simulation of two-stage networks (2007)
  18. del Moral, Pierre; Lezaud, Pascal: Branching and interacting particle interpretations of rare event probabilities (2006)
  19. Figueiredo, Daniel R.; Liu, Benyuan; Guo, Yang; Kurose, Jim; Towsley, Don: On the efficiency of fluid simulation of networks (2006)
  20. de Boer, Pieter-Tjerk: Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy (2005)

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