Importance Sampling Simulation of Population Overflow in Two-node Tandem Networks


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Nicola, Victor F. and Zaburnenko, Tatiana S. (2005) Importance Sampling Simulation of Population Overflow in Two-node Tandem Networks. In: Second International Conference on the Quantitative Evaluation of Systems, 2005, 19-22 Sept. 2005, Torino, Italy.

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Abstract:In this paper we consider the application of importance sampling in simulations of Markovian tandem networks in order to estimate the probability of rare events, such as network population overflow. We propose a heuristic methodology to obtain a good approximation to the 'optimal' state-dependent change of measure (importance sampling distribution). Extensive experimental results on 2-node tandem networks are very encouraging, yielding asymptotically efficient estimates (with bounded relative error) where no other state-independent importance sampling techniques are known to be efficient The methodology avoids the costly optimization involved in other recently proposed approaches to approximate the 'optimal' state-dependent change of measure. Moreover, the insight drawn from the heuristic promises its applicability to larger networks and more general topologies.
Item Type:Conference or Workshop Item
Copyright:©2005 IEEE
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:
Link to this item:http://purl.utwente.nl/publications/53332
Official URL:http://dx.doi.org/10.1109/QEST.2005.15
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