Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
From MaRDI portal
Publication:2465680
DOI10.1007/s11134-007-9047-4zbMath1145.90350OpenAlexW2130185378MaRDI QIDQ2465680
Jingchen Liu, Peter W. Glynn, Jose H. Blanchet
Publication date: 7 January 2008
Published in: Queueing Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11134-007-9047-4
Lyapunov boundsChange-of-measureFluid heuristicsHeavy-tailsRare-event simulationSingle-server queueState-dependent importance sampling
Related Items
The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling, Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions, Some Recent Results in Rare Event Estimation, Importance Sampling for Metastable and Multiscale Dynamical Systems, State-independent Importance Sampling for Random Walks with Regularly Varying Increments, Tail asymptotics for delay in a half-loaded \(\mathrm{GI}/\mathrm{GI}/2\) queue with heavy-tailed job sizes, Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks, Efficient rare-event simulation for perpetuities, Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin, Efficient simulation of tail probabilities of sums of correlated lognormals, Efficient rare-event simulation for the maximum of heavy-tailed random walks, Efficient importance sampling in ruin problems for multidimensional regularly varying random walks, State-dependent importance sampling for regularly varying random walks, Efficient Rare Event Simulation for Failure Problems in Random Media
Cites Work
- A note on Veraverbeke's theorem
- How large delays build up in a GI/G/1 queue
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Rare events simulation for heavy-tailed distributions
- Introduction to rare event simulation.
- Discrete and continuous time modulated random walks with heavy-tailed increments
- Dynamic importance sampling for queueing networks
- Importance sampling for sums of random variables with regularly varying tails
- Efficient rare event simulation for heavy-tailed compound sums
- Importance Sampling, Large Deviations, and Differential Games
- Applied Probability and Queues
- Improved algorithms for rare event simulation with heavy tails
- Unnamed Item
- Unnamed Item
- Unnamed Item