State-dependent importance sampling for a Jackson tandem network
نویسندگان
چکیده
منابع مشابه
Simulation of a Jackson tandem network using state-dependent importance sampling
This paper considers importance sampling as a tool for rareevent simulation. The focus is on estimating the probability of overflow in the downstream queue of a Jackson twonode tandem queue. It is known that in this setting ‘traditional’ state-independent importance-sampling distributions perform poorly. We therefore concentrate on developing a state-dependent change of measure that is provably...
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In this paper we investigate an advanced variant of the classical (Jackson) tandem queue, viz. a two-node system with server slow-down. The slow-down mechanism has the primary objective to protect the downstream queue from frequent overflows, and it does so by reducing the service speed of the upstream queue as soon as the number of jobs in the downstream queue reaches some pre-specified thresh...
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Rare event simulation in the context of queueing networks has been an active area of research for more than two decades. A commonly used technique to increase the efficiency of Monte Carlo simulation is importance sampling. However, there are few rigorous results on the design of efficient or asymptotically optimal importance sampling schemes for queueing networks. Using a recently developed ga...
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Consider a sequence (Xk : k ≥ 0) of regularly varying independent and identically distributed random variables with mean 0 and finite variance. We develop efficient rare-event simulation methodology associated with large deviation probabilities for the random walk (Sn : n ≥ 0). Our techniques are illustrated by examples, including large deviations for the empirical mean and path-dependent event...
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ژورنال
عنوان ژورنال: ACM Transactions on Modeling and Computer Simulation
سال: 2010
ISSN: 1049-3301,1558-1195
DOI: 10.1145/1842713.1842718