Asymptotically optimal importance sampling for Jackson networks with a tree topology
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Publication:2268463
DOI10.1007/s11134-009-9139-4zbMath1182.90027arXiv0708.3260OpenAlexW2044799837MaRDI QIDQ2268463
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
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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Cites Work
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- 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