Statedependent importance sampling for a Jackson tandem network
Miretskiy, D.I. and Scheinhardt, W.R.W. and Mandjes, M.R.H. (2008) Statedependent importance sampling for a Jackson tandem network. [Report]

PDF
385kB 
Abstract:  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 Jacksonian twonode tandem queue – it is known that in this setting ‘traditional’ stateindependent importancesampling distributions perform poorly. We therefore concentrate on developing a statedependent change of measure, that we prove to be asymptotically efficient.
More specific contributions are the following. (i) We concentrate on the probability of the second queue exceeding a certain predefined threshold before the system empties. Importantly, we identify an asymptotically efficient importancesampling distribution for any initial state of the system. (ii) The choice of the importancesampling distribution is backed up by appealing heuristics that are rooted in largedeviations theory. (iii) Our method for proving asymptotic efficiency is substantially more straightforward than some that have been used earlier. The paper is concluded by simulation experiments that show a considerable speed up. 
Item Type:  Report 
Faculty:  Electrical Engineering, Mathematics and Computer Science (EEMCS) 
Research Group:  
Link to this item:  http://purl.utwente.nl/publications/64760 
Official URL:  http://www.math.utwente.nl/publications 
Export this item as:  BibTeX EndNote HTML Citation Reference Manager 
Repository Staff Only: item control page
Metis ID: 250977