A set of extensions to the SIMAN/ARENA simulation environment

In this paper, we introduce a set of SIMAN/ARENA language constructs. These constructs are intended to add correlated variate generation and importance sampling capabilities to the SIMAN/ARENA simulation environment. It is our purpose to demonstrate that such enhancements are feasible in virtually all simulation languages. These extensions are useful in the analysis of rare events and/or in systems driven by processes exhibiting some degree of correlation. Models arising in communications, manufacturing, physics, and biology may require this type of simulation capability. We describe how the constructs function, including activation, parameter specification, and behavior. In the case of the correlated variate construct, we describe the Markov modulation used to generate our correlations. For the importance sampling construct, we discuss the class of "exponentially twisted" changes-of-measure implemented within our construct, and provide some explanatory theoretical background.

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