Alternative proof and interpretations for a recent state-dependent importance sampling scheme

DOI10.1007/S11134-007-9049-2MaRDI QIDQ2465682zbMATH OpenOpenAlexFDO

Authors Werner R. W. Scheinhardt, Pieter-Tjerk de Boer

Publication date 7 January 2008

Published in Queueing Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11134-007-9049-2

zbMATH Keywords

Asymptotic optimalityImportance samplingTandem queue

Mathematics Subject Classification ID

Queues and service in operations research (90B22)

Recommendations

• State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
• On the inefficiency of state-independent importance sampling in the presence of heavy tails
• State-dependent importance sampling schemes via minimum cross-entropy
• State-dependent importance sampling for regularly varying random walks
• State-independent importance sampling for random walks with regularly varying increments
• On the Choice of Alternative Measures in Importance Sampling with Markov Chains
• Automated state-dependent importance sampling for Markov jump processes via sampling from the zero-variance distribution
• State-dependent importance sampling for a Jackson tandem network
• On improved estimation for importance sampling
• Importance sampling as a variational approximation

Cites work

• scientific article; zbMATH DE number 3656855 (Why is no real title available?)
• A quick simulation method for excessive backlogs in networks of queues
• Analysis of an importance sampling estimator for tandem queues
• Continuous-time Markov chains. An applications-oriented approach
• Dynamic importance sampling for queueing networks
• Importance Sampling and the Cyclic Approach
• The relaxation time of two queueing systems in series

Cited in

(5)

• Performance evaluation of an importance sampling technique in a Jackson network
• Analysis of state-independent importance-sampling measures for the two-node tandem queue
• ON STATE-INDEPENDENT IMPORTANCE SAMPLING FOR THE GI|GI|1 TANDEM QUEUE¹
• Importance sampling for non-Markovian tandem queues using subsolutions
• State-dependent importance sampling for a slowdown tandem queue

This page was built for publication: Alternative proof and interpretations for a recent state-dependent importance sampling scheme

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2465682)