Grupo DIANA

RESTART is a widely applicable accelerated simulation technique that allows the evaluation of extremely low probabilities. In this method, a number of simulation retrials are performed when the process enters regions of the state space where the chance of occurrence of a rare event of interest is higher. In previous papers the importance of a state, which is a measure of the chance of occurrence of the rare event when the state occurs, was defined. The mentioned regions should be defined by means of the importance of the states but, due to the difficulty of knowing them, they are defined by means of another function of the states called the importance function. The choice by the user of an importance function which reflects the importance of the states is crucial for the effective application of RESTART. The problem of the previous definition of importance is that the importance of a state does not only depend on the state itself but also on the chosen importance function. It produces a loop between importance and importance function which can make more difficult to find an appropriate importance function. The paper presents a new concept of importance which does not depend on the chosen importance function. It avoids the above mentioned loop and can make easier to find an appropriate importance function. The paper also presents the application of this new concept of importance to an M/M/1 queue and the work progress of its application to a two-queue Jackson tandem network.