QUICK SIMULATION OF A PERFORMABILITY MODEL W. Douglas Obal II

We consider the problem of estimating via simulation the tails of the performability of a system. Traditional simulation is ine cient in this case because the number of samples required to obtain an adequate characterization of the tails is very large. The system we consider is the M/M/1/K system subject to server breakdowns and repairs. This system is simple, but has the characteristics shared by more complex systems, namely boundary conditions and multiple structural states. We propose a solution to this problem that combines results from large deviations theory and importance sampling. Speci cally, we use a large deviations analysis to derive an e ective strategy for importance sampling. Using this strategy, we obtain results that indicate a large improvement in simulation e ciency relative to the traditional approach.