Efficient simulation of a tandem Jackson network

DOI10.1145/566392.566395MaRDI QIDQ4564823zbMATH OpenOpenAlexFDO

Authors Dirk P. Kroese, Victor F. Nicola

Publication date 12 June 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/566392.566395

zbMATH Keywords

importance samplingorthogonal polynomialsbounded relative errorMarkov additive processesrare event simulationtandem Jackson network

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Queues and service in operations research (90B22) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited in

(6)

• Approximation of the exit probability of a stable Markov modulated constrained random walk
• Excessive backlog probabilities of two parallel queues
• Rate-tilting for fast simulation of level/phase processes
• Analysis of a splitting estimator for rare event probabilities in Jackson networks
• Spectral properties of the tandem Jackson network, seen as a quasi-birth-and-death process
• The cross-entropy method with patching for rare-event simulation of large Markov chains

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