Rare event simulation for a slotted time M/G/s model

DOI10.1007/S11134-009-9154-5MaRDI QIDQ2269504zbMATH OpenOpenAlexWikidataFDO

Authors Peter W. Glynn, Jose Blanchet, Henry Lam

Publication date 17 March 2010

Published in Queueing Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11134-009-9154-5

Mathematics Subject Classification ID

Large deviations (60F10) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Pseudo-random numbers; Monte Carlo methods (11K45)

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Cites work

• scientific article; zbMATH DE number 3656855 (Why is no real title available?)
• scientific article; zbMATH DE number 786528 (Why is no real title available?)
• A new view of the heavy-traffic limit theorem for infinite-server queues
• Conjugate processes and the simulation of ruin problems
• Fast simulation of rare events in queueing and reliability models
• Importance sampling in the Monte Carlo study of sequential tests
• Large deviations and rare events in the study of stochastic algorithms
• Simulation run lengths to estimate blocking probabilities
• Stochastic simulation: Algorithms and analysis
• Variance Reduction in Simulations of Loss Models

Cited in

(5)

• Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes
• Rare-event simulation for many-server queues
• Rare-event simulation for neural network and random forest predictors
• Uncertainty quantification of stochastic simulation for black-box computer experiments
• A rare-event simulation algorithm for periodic single-server queues

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