Monte Carlo methods. Vol. 1: basics
Monte Carlo methods. Vol. 1: basics
Uniformization and hybrid simulation/analytic models of renewal processes
Operations Research
Modeling and analysis of computer system availability
IBM Journal of Research and Development
Discrete event simulations and parallel processing: statistical properties
SIAM Journal on Scientific and Statistical Computing
Importance sampling for stochastic simulations
Management Science
Quick simulation of rare events in networks
WSC '89 Proceedings of the 21st conference on Winter simulation
How large delays build up in a GI/G/1 quqe
Queueing Systems: Theory and Applications
Discrete flow networks: bottleneck analysis and fluid approximations
Mathematics of Operations Research
How to optimize discrete-event systems from a single sample path by the score function method
Annals of Operations Research
Effective bandwidths at multi-class queues
Queueing Systems: Theory and Applications
Effective bandwidths for the multi-type UAS channel
Queueing Systems: Theory and Applications
Probability
The asymptotic efficiency of simulation estimators
Operations Research
A Unified Framework for Simulating Markovian Models of Highly Dependable Systems
IEEE Transactions on Computers
IEEE/ACM Transactions on Networking (TON)
WSC '92 Proceedings of the 24th conference on Winter simulation
Fast Simulation of Highly Dependable Systems with General Failure and Repair Processes
IEEE Transactions on Computers
Quick simulation of ATM buffers with on-off multiclass Markov fluid sources
ACM Transactions on Modeling and Computer Simulation (TOMACS)
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Bounded relative error in estimating transient measures of highly dependable non-Markovian systems
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Importance sampling for the simulation of highly reliable Markovian systems
Management Science
Fast simulation of packet loss rates in communication networks with priorities
WSC '94 Proceedings of the 26th conference on Winter simulation
Effective bandwidth and fast simulation of ATM intree networks
Performance '93 Proceedings of the 16th IFIP Working Group 7.3 international symposium on Computer performance modeling measurement and evaluation
Fast transient simulation of Markovian models of highly dependable systems
Performance '93 Proceedings of the 16th IFIP Working Group 7.3 international symposium on Computer performance modeling measurement and evaluation
Efficient estimation of the mean time between failures in non-regenerative dependability models
WSC '93 Proceedings of the 25th conference on Winter simulation
Estimation of reliability and its derivatives for large time horizons in Markovian systems
WSC '93 Proceedings of the 25th conference on Winter simulation
Optimal importance sampling for quick simulation of highly reliable Markovian systems
WSC '93 Proceedings of the 25th conference on Winter simulation
Variance reduction in mean time to failure simulations
WSC '88 Proceedings of the 20th conference on Winter simulation
Measure specific dynamic importance sampling for availability simulations
WSC '87 Proceedings of the 19th conference on Winter simulation
Fast simulation of a voice-data multiplexer
INFOCOM '95 Proceedings of the Fourteenth Annual Joint Conference of the IEEE Computer and Communication Societies (Vol. 1)-Volume - Volume 1
Simulation and analysis of highly reliable systems
Simulation and analysis of highly reliable systems
Rare event simulation in stochastic models
WSC '95 Proceedings of the 27th conference on Winter simulation
Fast simulation of packet loss rates in a shared buffer communications switch
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Importance sampling for Markov chains: computing variance and determining optimal measures
WSC '96 Proceedings of the 28th conference on Winter simulation
Splitting for rare event simulation: analysis of simple cases
WSC '96 Proceedings of the 28th conference on Winter simulation
Importance sampling for large ATM-type queueing networks
WSC '96 Proceedings of the 28th conference on Winter simulation
A framework for rare event simulation of stochastic Petri nets using “RESTART”
WSC '96 Proceedings of the 28th conference on Winter simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special issue on modeling and analysis of stochastic systems
A central-limit-theorem-based approach for analyzing queue behavior in high-speed networks
IEEE/ACM Transactions on Networking (TON)
Fast simulation of networks of queues with effective and decoupling bandwidths
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Rare event simulation of delay in packet switching networks using DPR-based splitting
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
Efficient simulation of a tandem Jackson network
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
Simulating heavy tailed processes using delayed hazard rate twisting
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
Strategic directions in simulation research (panel)
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 2
The theory of direct probability redistribution and its application to rare event simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Simulating heavy tailed processes using delayed hazard rate twisting (extended abstract)
ACM SIGMETRICS Performance Evaluation Review
Estimating small cell-loss ratios in ATM switches via importance sampling
ACM Transactions on Modeling and Computer Simulation (TOMACS)
ACM SIGMETRICS Performance Evaluation Review
Proceedings of the 32nd conference on Winter simulation
Simulating GI/GI/1 queues and insurance risk processes with subexponential distributions
Proceedings of the 32nd conference on Winter simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special issue: Rare event simulation
Steady state simulation analysis: importance sampling using the semi-regenerative method
Proceedings of the 33nd conference on Winter simulation
Proceedings of the 33nd conference on Winter simulation
Simulating heavy tailed processes using delayed hazard rate twisting
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Efficient simulation of a tandem Jackson network
ACM Transactions on Modeling and Computer Simulation (TOMACS)
A hybrid analysis approach for finite-capacity queues with general inputs and phase type service
Queueing Systems: Theory and Applications
Using the Cross-Entropy Method to Guide/Govern Mobile Agent's Path Finding in Networks
MATA '01 Proceedings of the Third International Workshop on Mobile Agents for Telecommunication Applications
Metrics for Parallel Job Scheduling and Their Convergence
JSSPP '01 Revised Papers from the 7th International Workshop on Job Scheduling Strategies for Parallel Processing
Discrete-Event Simulation in Performance Evaluation
Performance Evaluation: Origins and Directions
Combining importance sampling and temporal difference control variates to simulate Markov Chains
ACM Transactions on Modeling and Computer Simulation (TOMACS)
FAST SIMULATION OF A QUEUE FED BY A SUPERPOSITION OF MANY (HEAVY-TAILED) SOURCES
Probability in the Engineering and Informational Sciences
The Transform Likelihood Ratio Method for Rare Event Simulation with Heavy Tails
Queueing Systems: Theory and Applications
Fast simulation of wavelength continuous WDM networks
IEEE/ACM Transactions on Networking (TON)
Model-Based Evaluation: From Dependability to Security
IEEE Transactions on Dependable and Secure Computing
Output analysis: simulation output analysis
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Output analysis: analysis of simulation output
Proceedings of the 35th conference on Winter simulation: driving innovation
Proceedings of the 35th conference on Winter simulation: driving innovation
Proceedings of the 35th conference on Winter simulation: driving innovation
Probability in the Engineering and Informational Sciences
Importance sampling for the estimation of buffer overflow probabilities via trace-driven simulations
IEEE/ACM Transactions on Networking (TON)
Simulating markov-reward processes with rare events
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Search Strategies For Failure Cascade Paths In Power System Graphs
Probability in the Engineering and Informational Sciences
A self-learning worm using importance scanning
Proceedings of the 2005 ACM workshop on Rapid malcode
Efficient simulation of buffer overflow probabilities in jackson networks with feedback
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Fast simulation of overflow probabilities in a queue with Gaussian input
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Analysis of state-independent importance-sampling measures for the two-node tandem queue
ACM Transactions on Modeling and Computer Simulation (TOMACS)
The semi-regenerative method of simulation output analysis
ACM Transactions on Modeling and Computer Simulation (TOMACS)
On the efficiency of fluid simulation of networks
Computer Networks: The International Journal of Computer and Telecommunications Networking - Special issue: Network modelling and simulation
Fast model-based penetration testing
WSC '04 Proceedings of the 36th conference on Winter simulation
An adaptive approach to fast simulation of traffic groomed optical networks
WSC '04 Proceedings of the 36th conference on Winter simulation
A unified approach for finite-dimensional, rare-event Monte Carlo simulation
WSC '04 Proceedings of the 36th conference on Winter simulation
Importance sampling in Markovian settings
WSC '05 Proceedings of the 37th conference on Winter simulation
Application of rare event techniques to trace driven simulation
WSC '05 Proceedings of the 37th conference on Winter simulation
New measures of robustness in rare event simulation
WSC '05 Proceedings of the 37th conference on Winter simulation
WSC '05 Proceedings of the 37th conference on Winter simulation
Importance sampling simulation in the presence of heavy tails
WSC '05 Proceedings of the 37th conference on Winter simulation
Statistical probabilistic model checking with a focus on time-bounded properties
Information and Computation
Modeling, analysis, measurement and experimentation with the Tangram-II integrated environment
valuetools '06 Proceedings of the 1st international conference on Performance evaluation methodolgies and tools
Efficient heuristics for the simulation of population overflow in series and parallel queues
valuetools '06 Proceedings of the 1st international conference on Performance evaluation methodolgies and tools
Splitting with weight windows to control the likelihood ratio in importance sampling
valuetools '06 Proceedings of the 1st international conference on Performance evaluation methodolgies and tools
Output analysis for simulations
Proceedings of the 38th conference on Winter simulation
Splitting for rare-event simulation
Proceedings of the 38th conference on Winter simulation
Efficient simulation of population overflow in parallel queues
Proceedings of the 38th conference on Winter simulation
Efficient simulation for large deviation probabilities of sums of heavy-tailed increments
Proceedings of the 38th conference on Winter simulation
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Rare events, splitting, and quasi-Monte Carlo
ACM Transactions on Modeling and Computer Simulation (TOMACS)
ACM Transactions on Modeling and Computer Simulation (TOMACS)
An adaptive approach to accelerated evaluation of highly available services
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Yield-driven near-threshold SRAM design
Proceedings of the 2007 IEEE/ACM international conference on Computer-aided design
Ant-based approach for determining the change of measure in importance sampling
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Optimal worm-scanning method using vulnerable-host distributions
International Journal of Security and Networks
Journal of Systems and Software
Importance sampling in rate-sharing networks
Proceedings of the 1st international conference on Simulation tools and techniques for communications, networks and systems & workshops
Statistical analysis of simulation output
Proceedings of the 40th Conference on Winter Simulation
Approximate zero-variance simulation
Proceedings of the 40th Conference on Winter Simulation
Simulation of a Jackson tandem network using state-dependent importance sampling
Proceedings of the 3rd International Conference on Performance Evaluation Methodologies and Tools
Importance sampling for Jackson networks
Queueing Systems: Theory and Applications
Asymptotic robustness of estimators in rare-event simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Rare event simulation for a slotted time M/G/s model
Queueing Systems: Theory and Applications
Rare-Event Simulation for Tandem Queues: A Simple and Efficient Importance Sampling Scheme
NET-COOP '09 Proceedings of the 3rd Euro-NF Conference on Network Control and Optimization
A market-based approach to managing the risk of peer-to-peer transactions
Computer Networks: The International Journal of Computer and Telecommunications Networking
Overhead reduction in a distributed path management system
Computer Networks: The International Journal of Computer and Telecommunications Networking
Manipulation-resistant reputations using hitting time
WAW'07 Proceedings of the 5th international conference on Algorithms and models for the web-graph
State-dependent importance sampling for a Jackson tandem network
ACM Transactions on Modeling and Computer Simulation (TOMACS)
A variant of importance splitting for rare event estimation: Fixed number of successes
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Yield-driven near-threshold SRAM design
IEEE Transactions on Very Large Scale Integration (VLSI) Systems
Run-time efficient probabilistic model checking
Proceedings of the 33rd International Conference on Software Engineering
Importance sampling simulations of phase-type queues
Winter Simulation Conference
Large deviations theory: basic principles and applications to communication networks
Network performance engineering
Exact asymptotic for infinite-server queues
Proceedings of the 6th International Conference on Queueing Theory and Network Applications
Efficient calculation of rare event probabilities in Markovian queueing networks
Proceedings of the 5th International ICST Conference on Performance Evaluation Methodologies and Tools
Comparison of the mean-field approach and simulation in a peer-to-peer botnet case study
EPEW'11 Proceedings of the 8th European conference on Computer Performance Engineering
A platform for high performance statistical model checking --- PLASMA
TACAS'12 Proceedings of the 18th international conference on Tools and Algorithms for the Construction and Analysis of Systems
On the inefficiency of state-independent importance sampling in the presence of heavy tails
Operations Research Letters
Rare event simulation for highly dependable systems with fast repairs
Performance Evaluation
Cross-entropy optimisation of importance sampling parameters for statistical model checking
CAV'12 Proceedings of the 24th international conference on Computer Aided Verification
Evaluating differentiated quality of service parameters in optical packet switching
NEW2AN'07 Proceedings of the 7th international conference on Next Generation Teletraffic and Wired/Wireless Advanced Networking
On error rates in rare event simulation with heavy tails
Proceedings of the Winter Simulation Conference
Probabilistic bounded relative error for rare event simulation learning techniques
Proceedings of the Winter Simulation Conference
Efficient importance sampling under partial information
Proceedings of the Winter Simulation Conference
Improved methods and measures for computing dynamic program slices in stochastic simulations
Proceedings of the Winter Simulation Conference
Confidence intervals for quantiles and value-at-risk when applying importance sampling
Proceedings of the Winter Simulation Conference
Zero-Variance Importance Sampling Estimators for Markov Process Expectations
Mathematics of Operations Research
Accelerated rare event simulation with Markov chain modelling in wireless communication networks
International Journal of Mobile Network Design and Innovation
Efficient importance sampling schemes for a feed-forward network
ACM Transactions on Modeling and Computer Simulation (TOMACS)
| Hi-index | 0.00 |
This paper surveys efficient techniques for estimating, via simulation, the probabilities of certain rare events in queueing and reliability models. The rare events of interest are long waiting times or buffer overflows in queueing systems, and system failure events in reliability models of highly dependable computing systems. The general approach to speeding up such simulations is to accelerate the occurrence of the rare events by using importance sampling. In importance sampling, the system is simulated using a new set of input probability distributions, and unbiased estimates are recovered by multiplying the simulation output by a likelihood ratio. Our focus is on describing asymptotically optimal importance sampling techniques. Using asymptotically optimal importance sampling, the number of samples required to get accurate estimates grows slowly compared to the rate at which the probability of the rare event approaches zero. In practice, this means that run lengths can be reduced by many orders of magnitude, compared to standard simulation. In certain cases, asymptotically optimal importance sampling results in estimates having bounded relative error. With bounded relative error, only a fixed number of samples are required to get accurate estimates, no matter how rare the event of interest is. The queueing systems studied include simple queues (e.g., GI/GI/1), Jackson networks, discrete time queues with multiple autocorrelated arrival processes that arise in the analysis of Asynchronous Transfer Mode communications switches, and tree structured networks of such switches. Both Markovian and non-Markovian reliability models are treated.