Fast simulation of rare events in queueing and reliability models
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Publication:4876027
asymptotically optimal importance sampling techniquesasynchronous transfer mode communication switchesbuffer overflowsJackson networkslikelihood ratiolong waiting timesmultiple autocorrelated arrival processesqueueing systemsrare eventsreliability modelssimple queuessystem failure eventsunbiased estimatesvariance reduction
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- Importance functions for restart simulation of general Jackson networks
- Optimization of computer simulation models with rare events
- Fast simulation of blocking probabilities in loss networks
- Estimating the failure probability of a Markovian system during regeneration period by the essential sampling method
- Asymptotics of first passage times for random walk in an orthant
- Counterexamples in importance sampling for large deviations probabilities
- Rate-tilting for fast simulation of level/phase processes
- Reliability modelling using G-queues
- Bounding rare event probabilities in computer experiments
- Uncertainty quantification of stochastic simulation for black-box computer experiments
- Linear stochastic fluid networks: rare-event simulation and Markov modulation
- Dynamic importance sampling for uniformly recurrent Markov chains
- Efficiency improvement techniques
- Introduction to rare event simulation.
- Fast simulation of the customer blocking probability in queueing networks with multicast access
- Comparative analysis of two modified fast simulation methods for evaluation of the failure probability of a rank structure system
- Fast simulation of the functional failure of an \(s-t\)-network with repair
- Evaluation of the probability of functional failure of a redundant system by importance sampling method
- Rare event simulation for a slotted time M/G/s model
- Importance sampling and its optimality for stochastic simulation models
- Boundedness conditions for relative error in fast simulation of reliability of non-Markovian systems
- Performance analysis with truncated heavy-tailed distributions
- Efficient simulation of finite horizon problems in queueing and insurance risk
- Editorial: rare-event simulation for queues
- Dynamic importance sampling for queueing networks
- Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy
- Importance sampling simulations of Markovian reliability systems using cross-entropy
- Genealogical particle analysis of rare events
- Statistical probabilistic model checking with a focus on time-bounded properties
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- Monte Carlo methods for pricing financial options
- Large deviations and fast simulation in the presence of boundaries.
- On the inefficiency of state-independent importance sampling in the presence of heavy tails
- Quick simulation of detector error probabilities in the presence of memory and nonlinearity
- Search strategies for failure cascade paths in power system graphs
- Fast simulation of Markov chains with small transition probabilities
- scientific article; zbMATH DE number 994735 (Why is no real title available?)
- Command-based importance sampling for statistical model checking
- Representation of analysis results involving aleatory and epistemic uncertainty
- Importance Sampling for Failure Probabilities in Computing and Data Transmission
- Minimizing Large Deviation Paths for a Family of Long-Range Dependent Processes and Their Fractional Brownian Approximations
- Model counting of monotone conjunctive normal form formulas with spectra
- scientific article; zbMATH DE number 5560392 (Why is no real title available?)
- Rare event analysis by Monte Carlo techniques in static models
- Fast regenerative simulation of overload probability of one-server queues
- A quick simulation method for excessive backlogs in networks of queues
- Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
- Optimally efficient estimation of the statistics of rare events in queueing networks
- Regenerative rare events simulation via likelihood ratios
- Rare-Event Simulation for Multistage Production-Inventory Systems
- Fast simulation of packet loss rates in a shared buffer communications switch
- Estimating small cell-loss ratios in ATM switches via importance sampling
- Editor's introduction: Special issue honoring Perwez Shahabuddin
- The theory of direct probability redistribution and its application to rare event simulation
- Rare event simulation for steady-state probabilities via recurrency cycles
- Efficient simulation of tail probabilities in a queueing model with heterogeneous servers
- QUICK SIMULATION METHODS FOR ESTIMATING THE UNRELIABILITY OF REGENERATIVE MODELS OF LARGE, HIGHLY RELIABLE SYSTEMS
- HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
- On the Use of a Bridge Process in a Conditional Monte Carlo Simulation of Gaussian Queues
- Efficient estimation of overflow probabilities in queues with breakdowns
- MTTF Estimation using importance sampling on Markov models
- Computational costs of fast stochastic simulation techniques for Markovian fluid models in multiservice networks
- scientific article; zbMATH DE number 879791 (Why is no real title available?)
- On efficiency of multilevel splitting
- Rare-event simulation for distribution networks
- Effective bandwidth of non-Markovian packet traffic
- Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
- Rare-event simulation for many-server queues
- A cross-entropy scheme for mixtures
- A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis
- Integrating probabilistic design and rare-event simulation into the requirements engineering process for high-reliability systems
- Multiserver queueing systems with retrials and losses
- Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary
- Improved algorithms for rare event simulation with heavy tails
- Importance Sampling of Test Cases in Markovian Software Usage Models
- Simulating tail asymptotics of a Markov chain
- On asymptotically efficient simulation of large deviation probabilities
- On the optimal importance process for piecewise deterministic Markov process
- Accelerating convergence in stochastic particle dispersion simulation codes
- The cross-entropy method with patching for rare-event simulation of large Markov chains
- Applying fast simulation to the evaluation of customer blocking probability in the multichannel queuing system with multicast access
- Estimating large delay probabilities in two correlated queues
- Path-ZVA: general, efficient, and automated importance sampling for highly reliable Markovian systems
- Rare-event simulation for neural network and random forest predictors
- Fast simulation of the customer blocking probability in a queueing system with Poisson input flow controlled by a semi-Markov process
- Approximating zero-variance importance sampling in a reliability setting
- State-dependent importance sampling for a slowdown tandem queue
- State-dependent importance sampling schemes via minimum cross-entropy
- Sharp asymptotics for large portfolio losses under extreme risks
- Importance sampling for rare event tracking within the ensemble Kalman filtering framework
- Black-box rare-event simulation for safety testing of AI agents: an overview
- Uncertainty quantification and confidence intervals for naive rare-event estimators
- Towards reliability-aware active distribution system operations: a sequential convex programming approach
- Performance analysis conditioned on rare events: an adaptive simulation scheme
- Rare-event simulation for the hitting time of Gaussian processes
- Importance sampling for Jackson networks
- Rare event restart simulation of two-stage networks
- A search algorithm for calculating validated reliability bounds
- Effective branching splitting method under cost constraint
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