Sojourn Times and Rare Events

: In this paper, we present and analyze three different algorithms for the evaluation of rare event simulation results. They are loosely based on the AAc method, which in turn is an enhancement of the LRE-algorithm, derived from the sojourn time analysis of that algorithm. The AAc method is based on weaker assumptions than the LRE and thus usually creates confidence intervals that are more reliable than those delivered by the LRE-algorithm.

• Type: Conference
• Year: 2003
• Where: ANSS
• Authors: Norbert Th. Müller, Freimut Brenner
• Keywords: AAc Method, ANSS 2003, Rare Event Simulation, Sojourn Time Analysis