Importance Sampling for Failure Probabilities in Computing and Data Transmission

DOI10.1239/JAP/1253279851MaRDI QIDQ3182431zbMATH OpenOpenAlexFDO

Authors Søren Asmussen

Publication date 8 October 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1253279851

zbMATH Keywords

importance samplingRESTARTregular variationrare event simulationPareto distributionsnumerical examplesMonte Carlo simulationLundberg's inequalityintegral asymptoticsalgorithmsGumbel distributiongeometric sumexponential tiltingCramér rootconditioned limit theoremcomputer reliabilitycompound sumcommunications engineering

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Parametric tolerance and confidence regions (62F25) Applications of statistics in engineering and industry; control charts (62P30) Monte Carlo methods (65C05) Reliability, testing and fault tolerance of networks and computer systems (68M15) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

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Cites work

• Applied Probability and Queues
• Asymptotic Behavior of Total Times for Jobs That Must Start Over if a Failure Occurs
• Characterizing heavy-tailed distributions induced by retransmissions
• Connecting renewal age processes with M/D/1 and M/D/ queues through stick breaking
• Efficient rare event simulation for heavy-tailed compound sums
• Efficient rare-event simulation for the maximum of heavy-tailed random walks
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• Lundberg approximations for compound distributions with insurance applications
• Stochastic simulation: Algorithms and analysis
• The Asymptotic Efficiency of Simulation Estimators

Cited in

(2)

• A truncated importance sampling method for failure probability estimation with truncated normal distributions
• Estimation of failure probabilities of linear dynamic systems by importance sampling

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