Importance sampling for stochastic simulations
Management Science
The asymptotic efficiency of simulation estimators
Operations Research
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
Analysis of an importance sampling estimator for tandem queues
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Fast simulation of rare events in queueing and reliability models
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Importance sampling for large ATM-type queueing networks
WSC '96 Proceedings of the 28th conference on Winter simulation
Efficient estimation of the mean time between failures in non-regenerative dependability models
WSC '93 Proceedings of the 25th conference on Winter simulation
Estimating small cell-loss ratios in ATM switches via importance sampling
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Steady state simulation analysis: importance sampling using the semi-regenerative method
Proceedings of the 33nd conference on Winter simulation
Efficient simulation of a tandem Jackson network
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Explicit Solutions for Variational Problems in the Quadrant
Queueing Systems: Theory and Applications
Importance Sampling and the Cyclic Approach
Operations Research
Combining importance sampling and temporal difference control variates to simulate Markov Chains
ACM Transactions on Modeling and Computer Simulation (TOMACS)
WSC '05 Proceedings of the 37th conference on Winter simulation
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
Efficient simulation of population overflow in parallel queues
Proceedings of the 38th conference on Winter simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Importance sampling for Jackson networks
Queueing Systems: Theory and Applications
Asymptotically optimal importance sampling for Jackson networks with a tree topology
Queueing Systems: Theory and Applications
Efficient importance sampling schemes for a feed-forward network
ACM Transactions on Modeling and Computer Simulation (TOMACS)
| Hi-index | 0.00 |
Consider a Jackson network that allows feedback and that has a single server at each queue. The queues in this network are classified as a single ‘target’ queue and the remaining ‘feeder’ queues. In this setting we develop the large deviations limit and an asymptotically efficient importance sampling estimator for the probability that the target queue overflows during its busy period, under some regularity conditions on the feeder queue-length distribution at the initiation of the target queue busy period. This importance sampling distribution is obtained as a solution to a non-linear program. We especially focus on the case where the feeder queues, at the initiation of the target queue busy period, have the steady state distribution corresponding to these instants. In this setting, we explicitly identify the importance sampling distribution when the feeder queue service rates exceed a specified threshold. We also relate our work to the existing large deviations literature to develop a perspective on successes and limitations of our results.