Study of an ergodicity pitfall in multitrajectory simulation

Multitrajectory Simulation allows random events in a simulation to generate multiple trajectories. Management techniques have been developed to manage the choices of trajectories to be continued as combinatorial explosion and limited resources prevents continuing all of them. One of the seemingly most promising methods used trajectory probability as a criterion, so that higher probability trajectories were preferentially continued, resulting in a more even distribution of (surviving) trajectory probabilities, and better than stochastic approximation to a reference outcome. It was also found that this management technique introduced a failed ergodicity assumption. The higher and lower probability trajectories behave differently to a significant extent. The effect is to limit the number of trajectories which can usefully be applied to the problem, such that additional runs would fail to converge further toward the definitive reference outcome set. This may be a useful model for understa...

• Type: Conference
• Year: 2001
• Where: WSC
• Authors: John B. Gilmer Jr., Frederick J. Sullivan
• Keywords: Modeling And Simulation, Multitrajectory Simulation, Probability Trajectories, Trajectories, WSC 2001