Efficient Simulation of Fluid Queues with Many Sources
نویسنده
چکیده
In this paper we study the rare event of overflow in a Markov fluid queue with finite buffer and many input sources. The probability of this rare event will be estimated by simulations. We present a highly efficient importance sampling procedure to speed up the simulations. The implemented change of meausure is suggested after a large deviations analysis of the overflow probability. This analysis yields the optimal path to overflow. A number of experiments support the procedure.
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