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Importance Functions for RESTART Simulation of Highly-Dependable Systems

Departamento de Matemática Aplicada E.U. Informática, Universidad Politécnica de Madrid calle Arboleda s/n 28031 Madrid, Spain, jvillen{at}eui.upm.es

RESTART is a widely applied accelerated simulation technique that allows the evaluation of very low probabilities. In this method a number of simulation retrials are performed when the process enters regions of the state space where the chance of occurrence of the rare event is higher. Formulas for evaluating the optimal number of regions and retrials have been provided in previous papers. Guidelines were also provided for obtaining a suitable function, the importance function, used to define the regions. This paper provides a simple importance function that can be useful for RESTART simulation of models of many highly dependable systems. Some eXamples from the literature illustrate the application of this importance function. Steady-state unavailability of balanced systems is accurately estimated within short computational times, and also the unavailability of an unbalanced system but with much more computational effort.

Key Words: Rare-event simulation • RESTART • highly-dependable systems

SIMULATION, Vol. 83, No. 12, 821-828 (2007)
DOI: 10.1177/0037549707081257


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