Entrance Distribution in RESTART Simulation

摘要

The RESTART method is a simple simulation method for the estimation of rare event211u001eprobabilities. In this paper, we explore the possibility of further increasing 211u001ethe efficiency of the method by using so-called entrance distributions. We study 211u001ethe entrance distribution mainly through examples and numerical experiments. 211u001eSection 2 briefly outlines the RESTART method. In Section 3 we discuss the 211u001eentrance distribution and its relevance for RESTART simulation. Section 4 focuses 211u001eon the limiting entrance distribution. A number of examples are presented for 211u001ewhich this distribution can be easily found. An interesting link with Importance 211u001eSampling is discovered. In Section 5, we investigate numerically the usefulness 211u001eof the entrance distribution in RESTART simulation. Conclusions are given in 211u001eSection 6.