Rare-Event Simulation for Tandem Queues: A Simple and Efficient Importance Sampling Scheme

Authors:
Denis Miretskiy;Werner Scheinhardt;Michel Mandjes
Affiliations:
University of Twente, Enschede, The Netherlands;University of Twente, Enschede, The Netherlands;University of Amsterdam, Amsterdam, The Netherlands
Venue:
NET-COOP '09 Proceedings of the 3rd Euro-NF Conference on Network Control and Optimization
Year:
2009

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Abstract

This paper focuses on estimating the rare event of overflow in the downstream queue of a tandem Jackson queue, relying on importance sampling. It is known that in this setting `traditional' state-independent schemes perform poorly. More sophisticated state-dependent schemes yield asymptotic efficiency. Their drawback, however, is that they require a per-state computation of the new measure, so that it still consumes considerable machine time. The contribution of this paper is a scheme that combines asymptotic efficiency with low complexity. It retains the quality of the original state-dependent scheme, but its implementation is almost as simple as for state-independent analogues.