Fast simulation for slow paths in Markov models

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Reijsbergen, Daniël and Boer, Pieter-Tjerk de and Scheinhardt, Werner and Haverkort, Boudewijn (2012) Fast simulation for slow paths in Markov models. In: Ninth International Workshop on Rare Event Simulation, RESIM 2012, 25-27 June 2012, Trondheim, Norway (pp. pp. 36-38).

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Abstract:Inspired by applications in the context of stochastic model checking, we are interested in using simulation for estimating the probability of reaching a specific state in a Markov chain after a large amount of time tau has passed. Since this is a rare event, we apply importance sampling. We derive approximate expressions for the sojourn times on a given path in a Markov chain conditional on the sum exceeding tau, and use those expressions to construct a change of measure. Numerical examples show that this change of measure performs very well, leading to high precision estimates in short simulation times.
Item Type:Conference or Workshop Item
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Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/80763
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