Asymptotically optimal importance sampling for Jackson networks with a tree topology

DOI10.1007/s11134-009-9139-4zbMath1182.90027arXiv0708.3260OpenAlexW2044799837MaRDI QIDQ2268463

Ali Devin Sezer

Publication date: 8 March 2010

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.3260

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Dynamic programming in optimal control and differential games (49L20) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Optimal stochastic control (93E20) Large deviations (60F10) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

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Approximation of excessive backlog probabilities of two tandem queues ⋮ Excessive backlog probabilities of two parallel queues ⋮ Approximation of bounds on mixed-level orthogonal arrays ⋮ Importance sampling for a Markov modulated queuing network ⋮ Approximation of the exit probability of a stable Markov modulated constrained random walk

Cites Work

• Importance sampling for Jackson networks
• Importance sampling in the Monte Carlo study of sequential tests
• Dynamic importance sampling for uniformly recurrent Markov chains
• Dynamic importance sampling for queueing networks
• A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks
• A quick simulation method for excessive backlogs in networks of queues
• Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
• Importance Sampling, Large Deviations, and Differential Games
• Analysis of an importance sampling estimator for tandem queues
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling