Ordinal optimization approach to rare event probability problems
type: Item
instance of: scholarly article
title: Ordinal optimization approach to rare event probability problems
zbMATH Open document ID: 0841.65147
DOI: 10.1007/BF01439043
author: Yu-Chi Ho
author: Michael E. Larson
published in: Discrete Event Dynamic Systems
publication date: 1996-07-01T00:00:00Z
review text: The authors introduce a new approach to rare event simulation. Because of the extensive simulation required for precise estimation of performance criterion dependent on rare event occurrences, obstacles such as computing budget/time constraints and pseudo-random number generator limitations can become prohibitive, particularly if comparative study of different system designs is involved. Existing methods for rare events simulation have focused on simulation budget reduction while attempting to generate accurate performance estimates. The authors propose a new approach for rare events system analysis in which they relax the simulation goal to the isolation of a set of ``good enough'' designs with high probability. Given this relaxation, referred to as ordinal optimization and advanced by \textit{Y. C. Ho, R. S. Sreenivas} and \textit{P. Vakili} [Discrete Event Dyn. Syst. 2, No. 1, 61-88 (1992; Zbl 0754.60133)], this paper's approach calls instead for the consideration of an appropriate surrogate design problem. This surrogate problem is characterized by its approximate ordinal equivalence to the original problem and its performance criterion's dependence not on rare event occurrences, but on more frequent events. Evaluation of such a surrogate problem under the relaxed goals of ordinal optimization has experimentally resulted in orders of magnitude reduction in simulation burden.
reviewed by: Sotirios Loukas
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 65C20
Mathematics Subject Classification ID: 90B15
Mathematics Subject Classification ID: 60K99
zbMATH DE Number: 816019
zbMATH Keywords: rare event simulation
zbMATH Keywords: pseudo-random number generator
zbMATH Keywords: simulation budget reduction
zbMATH Keywords: performance estimates
zbMATH Keywords: ordinal optimization
zbMATH Keywords: surrogate problem
MaRDI profile type: Publication
cites work: Q4695497
cites work: Optimally efficient estimation of the statistics of rare events in queueing networks
cites work: Importance Sampling for Stochastic Simulations
cites work: Q4002098
cites work: Ordinal optimization of DEDS
cites work: Q3951448
cites work: A quick simulation method for excessive backlogs in networks of queues
full work available at URL: https://doi.org/10.1007/bf01439043
OpenAlex ID: W2042613175
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description: scientific article; zbMATH DE number 816019