Dynamic importance sampling for queueing networks (Q2467605)

Exploiting connnections between importance sampling, differential games, and classical subsolutions of the corresponding Isaacs equation, the authors show how to design and analyze simple and efficient dynamic importance sampling schemes for general classes of networks. The models used to illustrate the approach include the \(d\)-node tandem Jackson networks and a two-node network with feedback and the rare events studied are those of large queueing backlogs, including total population overlflow and the overflow of individual buffers.