Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue
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Publication:2465680
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Cites work
- A note on Veraverbeke's theorem
- Applied Probability and Queues
- Discrete and continuous time modulated random walks with heavy-tailed increments
- Dynamic importance sampling for queueing networks
- Efficient rare event simulation for heavy-tailed compound sums
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- How large delays build up in a GI/G/1 queue
- scientific article; zbMATH DE number 192907 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- Importance sampling for sums of random variables with regularly varying tails
- Importance Sampling, Large Deviations, and Differential Games
- Improved algorithms for rare event simulation with heavy tails
- Introduction to rare event simulation.
- Queueing systems with heavy tails
- Rare events simulation for heavy-tailed distributions
Cited in
(16)- Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
- 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
- Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
- State-dependent importance sampling for regularly varying random walks
- Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
- Efficient rare-event simulation for perpetuities
- Importance sampling for metastable and multiscale dynamical systems
- A rare-event simulation algorithm for periodic single-server queues
- State-independent importance sampling for random walks with regularly varying increments
- Efficient rare event simulation for failure problems in random media
- The square root rule for adaptive importance sampling
- Efficient simulation of tail probabilities of sums of correlated lognormals
- Tail asymptotics for delay in a half-loaded \(\mathrm{GI}/\mathrm{GI}/2\) queue with heavy-tailed job sizes
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
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