STOCHASTIC SIMULATION - A SIMPLIFIED LRE-ALGORITHM FOR DISCRETE RANDOM SEQUENCES

The LRE-algorithm III (LRE: Limited Relative Error) for the statistica l evaluation of discrete random x-sequences yields by simple rules the stationary d.f. F(x) and the so-called local correlation function rho (x), -1 less than or equal to rho less than or equal to 1, to be inclu ded in a mean quadratic error measure for controlling the simulation r un time. The use of this error statement instead of confidence interva l statements and the principle of measuring correlation evidence inste ad of trying to eliminate correlation represent essentials for overcom ing the deficiencies of the widespread Batch Means evaluation method. The LRE-algorithm III has been verified by test simulations of analyti cally described queueing systems and recently applied as part of the s o called RESTART/LRE-algorithm for simulating very small probabilities of rare cell loss events in ATM-networks: in a situation being affect ed by various correlation phenomena the error and run time control pro cedures of the LRE-method secure the objectivity of numerical simulati on results.