Importance sampling for a Markov modulated queuing network

DOI10.1016/J.SPA.2008.02.009MaRDI QIDQ1004403zbMATH OpenOpenAlexFDO

Authors Ali Devin Sezer

Publication date 10 March 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2008.02.009

zbMATH Keywords

dynamic importance samplingIsaacs equationlarge deviationsMarkov modulatedoptimal controloverflow probabilityqueuing networksrare event simulationregime switchtandem queues

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25) Monte Carlo methods (65C05) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)

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Cites work

• A quick simulation method for excessive backlogs in networks of queues
• Analysis of an importance sampling estimator for tandem queues
• Asymptotically optimal importance sampling for Jackson networks with a tree topology
• Dynamic importance sampling for queueing networks
• Dynamic importance sampling for uniformly recurrent Markov chains
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• Importance sampling for a Markov modulated queuing network
• Importance sampling in the Monte Carlo study of sequential tests
• Importance Sampling, Large Deviations, and Differential Games
• Large deviations for Markov processes with discontinuous statistics. I: General upper bounds
• Neumann type boundary conditions for Hamilton-Jacobi equations
• Stochastic Approximation and Large Deviations: Upper Bounds and <scp>w.p.1</scp> Convergence
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

Cited in

(13)

• Importance sampling for a Markov modulated queuing network
• Linear stochastic fluid networks: rare-event simulation and Markov modulation
• Approximation of the exit probability of a stable Markov modulated constrained random walk
• Excessive backlog probabilities of two parallel queues
• Dynamic importance sampling for queueing networks
• Approximation of bounds on mixed-level orthogonal arrays
• Importance Sampling for Weighted-Serve-the-Longest-Queue
• Approximation of excessive backlog probabilities of two tandem queues
• Performance evaluation of an importance sampling technique in a Jackson network
• Primes in prime number races
• The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation
• Hitting probabilities of constrained random walks representing tandem networks
• Importance sampling for Jackson networks

Describes a project that uses

Uses Software

• Octave

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