Fast simulation of rare events in queueing and reliability models
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Publication:4876027
DOI10.1145/203091.203094zbMATH Open0843.62096OpenAlexW2146416787MaRDI QIDQ4876027FDOQ4876027
Authors: Philip Heidelberger 
Publication date: 21 August 1996
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: http://www.acm.org/pubs/contents/journals/tomacs/
Recommendations
variance reductionlikelihood ratioqueueing systemsrare eventsJackson networksreliability modelsunbiased estimatesbuffer overflowsasymptotically optimal importance sampling techniquesasynchronous transfer mode communication switcheslong waiting timesmultiple autocorrelated arrival processessimple queuessystem failure events
Reliability and life testing (62N05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Queueing theory (aspects of probability theory) (60K25)
Cited In (90)
- Editorial: rare-event simulation for queues
- Improved algorithms for rare event simulation with heavy tails
- Counterexamples in importance sampling for large deviations probabilities
- Estimating the failure probability of a Markovian system during regeneration period by the essential sampling method
- Quick simulation of detector error probabilities in the presence of memory and nonlinearity
- Performance analysis with truncated heavy-tailed distributions
- Comparative analysis of two modified fast simulation methods for evaluation of the failure probability of a rank structure system
- Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary
- Rare-event simulation for the hitting time of Gaussian processes
- Representation of analysis results involving aleatory and epistemic uncertainty
- Boundedness conditions for relative error in fast simulation of reliability of non-Markovian systems
- Rare event restart simulation of two-stage networks
- Uncertainty quantification of stochastic simulation for black-box computer experiments
- Regenerative rare events simulation via likelihood ratios
- Genealogical particle analysis of rare events
- Simulating tail asymptotics of a Markov chain
- Bounding rare event probabilities in computer experiments
- On the optimal importance process for piecewise deterministic Markov process
- Multiserver queueing systems with retrials and losses
- Title not available (Why is that?)
- Evaluation of the probability of functional failure of a redundant system by importance sampling method
- Optimization of computer simulation models with rare events
- Fast simulation of blocking probabilities in loss networks
- Fast simulation of the customer blocking probability in queueing networks with multicast access
- Rare event simulation for a slotted time M/G/s model
- Importance Sampling of Test Cases in Markovian Software Usage Models
- Importance sampling algorithms for first passage time probabilities in the infinite server queue
- Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
- Rate-tilting for fast simulation of level/phase processes
- Title not available (Why is that?)
- Reliability modelling using G-queues
- Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy
- Monte Carlo methods for pricing financial options
- Efficient estimation of overflow probabilities in queues with breakdowns
- Accelerating convergence in stochastic particle dispersion simulation codes
- A search algorithm for calculating validated reliability bounds
- Importance sampling for Jackson networks
- Importance Sampling for Failure Probabilities in Computing and Data Transmission
- Command-based importance sampling for statistical model checking
- Introduction to rare event simulation.
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- The cross-entropy method with patching for rare-event simulation of large Markov chains
- The theory of direct probability redistribution and its application to rare event simulation
- A cross-entropy scheme for mixtures
- Effective branching splitting method under cost constraint
- Statistical probabilistic model checking with a focus on time-bounded properties
- Dynamic importance sampling for uniformly recurrent Markov chains
- Approximating zero-variance importance sampling in a reliability setting
- On asymptotically efficient simulation of large deviation probabilities
- Asymptotics of first passage times for random walk in an orthant
- Efficiency improvement techniques
- Rare-event simulation for many-server queues
- A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis
- Importance functions for restart simulation of general Jackson networks
- Sharp asymptotics for large portfolio losses under extreme risks
- QUICK SIMULATION METHODS FOR ESTIMATING THE UNRELIABILITY OF REGENERATIVE MODELS OF LARGE, HIGHLY RELIABLE SYSTEMS
- HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
- MTTF Estimation using importance sampling on Markov models
- Fast simulation of Markov chains with small transition probabilities
- Fast simulation of the functional failure of an \(s-t\)-network with repair
- On efficiency of multilevel splitting
- On the inefficiency of state-independent importance sampling in the presence of heavy tails
- Performance analysis conditioned on rare events: an adaptive simulation scheme
- On the Use of a Bridge Process in a Conditional Monte Carlo Simulation of Gaussian Queues
- Rare event analysis by Monte Carlo techniques in static models
- A quick simulation method for excessive backlogs in networks of queues
- Importance sampling and its optimality for stochastic simulation models
- State-dependent importance sampling for a slowdown tandem queue
- State-dependent importance sampling schemes via minimum cross-entropy
- Dynamic importance sampling for queueing networks
- Importance sampling simulations of Markovian reliability systems using cross-entropy
- Effective bandwidth of non-Markovian packet traffic
- Computational costs of fast stochastic simulation techniques for Markovian fluid models in multiservice networks
- Estimating large delay probabilities in two correlated queues
- Path-ZVA: general, efficient, and automated importance sampling for highly reliable Markovian systems
- Fast regenerative simulation of overload probability of one-server queues
- Editor's introduction: Special issue honoring Perwez Shahabuddin
- Efficient simulation of finite horizon problems in queueing and insurance risk
- Search strategies for failure cascade paths in power system graphs
- Large deviations and fast simulation in the presence of boundaries.
- Integrating probabilistic design and rare-event simulation into the requirements engineering process for high-reliability systems
- Efficient simulation of tail probabilities in a queueing model with heterogeneous servers
- Rare-event simulation for neural network and random forest predictors
- Minimizing Large Deviation Paths for a Family of Long-Range Dependent Processes and Their Fractional Brownian Approximations
- Rare-event simulation for distribution networks
- Estimating small cell-loss ratios in ATM switches via importance sampling
- Rare event simulation for steady-state probabilities via recurrency cycles
- Fast simulation of the customer blocking probability in a queueing system with Poisson input flow controlled by a semi-Markov process
- Model counting of monotone conjunctive normal form formulas with spectra
- Applying fast simulation to the evaluation of customer blocking probability in the multichannel queuing system with multicast access
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