Fast simulation of overflow probabilities in a queue with Gaussian input
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Publication:4565368
DOI10.1145/1138464.1138466zbMath1390.90208OpenAlexW2117093313MaRDI QIDQ4565368
A. B. Dieker, M. R. H. Mandjes
Publication date: 12 June 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/4046
importance samplingGaussian processesasymptotic efficiencylarge deviationsoverflow probabilityqueueing theory
Gaussian processes (60G15) Probabilistic models, generic numerical methods in probability and statistics (65C20) Queues and service in operations research (90B22)
Related Items (4)
On convergence to stationarity of fractional Brownian storage ⋮ Editorial introduction: special issue on Gaussian queues ⋮ On asymptotically efficient simulation of large deviation probabilities ⋮ Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes
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