Rare-event similation for tandem queues: a simple and efficient importance sampling scheme

Miretskiy, Denis and Scheinhardt, Werner and Mandjes, Michel (2009) Rare-event similation for tandem queues: a simple and efficient importance sampling scheme. In: Third Euro-NF Conference on Network Control and Optimization, NET-COOP, November 23-25, 2009, Eindhoven, The Netherlands.

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Abstract:	This paper focuses on estimating the rare event of overflow in the downstream queue of a tandem Jackson queue, relying on importance sampling. It is known that in this setting ‘traditional’ state-independent schemes perform poorly. More sophisticated state-dependent schemes yield asymptotic efficiency. Their drawback, however, is that they require a per-state computation of the new measure, so that it still consumes considerable machine time. The contribution of this paper is a scheme that combines asymptotic efficiency with low complexity. It retains the quality of the original statedependent scheme, but its implementation is almost as simple as for state-independent analogues.
Item Type:	Conference or Workshop Item
Copyright:	© 2009 Springer
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Stochastic Operations Research (SOR)
Link to this item:	http://purl.utwente.nl/publications/69811
Official URL:	http://dx.doi.org/10.1007/978-3-642-10406-0_8
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