Rare event simulation: The RESTART method

Abstract

This paper is a tutorial on RESTART, a widely applicable accelerated simulation technique for estimating rare event probabilities. The method is based on performing a number of simulation retrials when the process enters regions of the state space where the chance of occurrence of the rare event is higher. The paper analyzes its efficiency, showing formulas for the gain obtained with respect to crude simulation and for the parameter values that maximize this gain. It also provides guidelines for the choice of the importance function, the function of the system state used for determining when retrials are made. Several examples on queuing networks and ultra reliable systems are exposed to illustrate the application of the guidelines and the efficiency achieved.